Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors

DOI10.1016/j.csda.2010.07.015zbMath1255.62066OpenAlexW2055647384MaRDI QIDQ1927147

Yasuhiro Omori, Tsunehiro Ishihara

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.07.015

zbMATH Keywords

asymmetryMarkov chain Monte Carloleverage effectmultivariate stochastic volatilitymulti-move samplerheavy-tailed error

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Numerical analysis or methods applied to Markov chains (65C40)

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