Analysis of high dimensional multivariate stochastic volatility models

DOI10.1016/j.jeconom.2005.06.026zbMath1418.62377OpenAlexW2107335183MaRDI QIDQ278181

Federico Nardari, Neil Shephard, Siddhartha Chib

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.026

zbMATH Keywords

simulationMarkov chain Monte Carlomarginal likelihoodforecastingvalue-at-riskMetropolis-Hastings algorithmBayesian inferencevolatilitystate space modelparticle filterStudent-\(t\) distributionrisk measurementstochastic jumpstime-varying correlations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Economic time series analysis (91B84)

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