Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

DOI10.1080/07474930600713465zbMath1113.62133OpenAlexW2064553712WikidataQ123417531 ScholiaQ123417531MaRDI QIDQ5485109

Renate Meyer, Jun Yu

Publication date: 28 August 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/819

zbMATH Keywords

heavy-tailed distributionsfactorsMCMCDICtime-varying correlationsmultivariate stochastic volatilityGranger causality in volatility

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)

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Uses Software

• WinBUGS
• BUGS
• FinTS

Cites Work

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