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Multivariate Stochastic Volatility Models with Correlated Errors - MaRDI portal

Multivariate Stochastic Volatility Models with Correlated Errors (Q5485105)

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scientific article; zbMATH DE number 5050405
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English
Multivariate Stochastic Volatility Models with Correlated Errors
scientific article; zbMATH DE number 5050405

    Statements

    title
    Multivariate Stochastic Volatility Models with Correlated Errors (English)
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    publication date
    28 August 2006
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    zbMATH Keywords
    Bayesian estimation
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    correlation matrix
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    leverage
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    Markov chain Monte Carlo
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    model averaging
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62F15
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    65C40
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    zbMATH DE Number
    5050405
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    OpenAlex ID
    W3122870494
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