Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

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 which are natural extensi...

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Bibliographic Details
Main Authors: YU, Jun, MEYER, Renate
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Granger causality in volatility
Heavy-tailed distributions
MCMC
Multivariate stochastic volatility
Time-varying correlations
Applied Statistics
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/819
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1818&context=soe_research
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/819
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1818&context=soe_research

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