Multivariate Wishart stochastic volatility and changes in regime (Q1622088)
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scientific article; zbMATH DE number 6976390
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate Wishart stochastic volatility and changes in regime |
scientific article; zbMATH DE number 6976390 |
Statements
Multivariate Wishart stochastic volatility and changes in regime (English)
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12 November 2018
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multivariate stochastic volatility
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dynamic correlations
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Wishart distribution
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Markov switching
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Markov chain Monte Carlo
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