Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS

DOI10.1080/00949655.2010.520271zbMath1431.62470OpenAlexW2083566499MaRDI QIDQ4913924

Sheng-Yuan Jian, Chen-Ye Chang, Xiyuan Qian

Publication date: 17 April 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2010.520271

zbMATH Keywords

Bayesian inferenceMCMCDICChinese stock marketconditional constant correlationsmultivariate GARCH and stochastic volatilityprior for correlation matrixsector index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Uses Software

• WinBUGS

Cites Work

• Estimating the dimension of a model
• BUGS for a Bayesian analysis of stochastic volatility models
• Multivariate GARCH Models
• Bayesian Measures of Model Complexity and Fit
• Multivariate Stochastic Volatility: A Review
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Monte Carlo sampling methods using Markov chains and their applications
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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