Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
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Publication:3089153
DOI10.1198/jbes.2010.08197zbMath1219.91154OpenAlexW1990038976MaRDI QIDQ3089153
Shawn Ni, Antonello Loddo, Dongchu Sun
Publication date: 24 August 2011
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10355/10307
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Monte Carlo methods (65C05)
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