Analysis of high dimensional multivariate stochastic volatility models (Q278181)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Analysis of high dimensional multivariate stochastic volatility models |
scientific article; zbMATH DE number 6575910
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of high dimensional multivariate stochastic volatility models |
scientific article; zbMATH DE number 6575910 |
Statements
Analysis of high dimensional multivariate stochastic volatility models (English)
0 references
2 May 2016
0 references
Bayesian inference
0 references
Markov chain Monte Carlo
0 references
marginal likelihood
0 references
Metropolis-Hastings algorithm
0 references
particle filter
0 references
simulation
0 references
state space model
0 references
stochastic jumps
0 references
Student-\(t\) distribution
0 references
volatility
0 references
value-at-risk
0 references
risk measurement
0 references
forecasting
0 references
time-varying correlations
0 references
0 references
0.9426919
0 references
0.92716134
0 references
0 references
0.90993005
0 references
0.90794754
0 references
0 references
0 references
