Multivariate Wishart stochastic volatility and changes in regime

DOI10.1007/s10182-016-0269-9zbMath1443.62351OpenAlexW3122863091MaRDI QIDQ1622088

Bastian Gribisch

Publication date: 12 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/66205

zbMATH Keywords

Markov chain Monte CarloWishart distributionMarkov switchingdynamic correlationsmultivariate stochastic volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns

Uses Software

• RiskMetrics

Cites Work

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