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...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2004
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |