Time-varying vector autoregressive models with stochastic volatility (Q5124768)
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scientific article; zbMATH DE number 7253858
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time-varying vector autoregressive models with stochastic volatility |
scientific article; zbMATH DE number 7253858 |
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Time-varying vector autoregressive models with stochastic volatility (English)
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30 September 2020
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Bayesian forecasting
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multivariate time series
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stochastic volatility
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state-space models
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portfolio allocation
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