Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
In this paper we show that fully likelihood-based estimation and comparison of multivariate stochastic volatility (SV) models can be easily performed via a freely available Bayesian software called WinBUGS. Moreover, we introduce to the literature several new specifications that are natural extensio...
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| المؤلفون الرئيسيون: | , |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2006
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soe_research/360 https://ink.library.smu.edu.sg/context/soe_research/article/1359/viewcontent/Multivariate_Stochastic_Volatility_Models_Bayesian_Estimation.pdf |
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