Bayesian semiparametric multivariate stochastic volatility with application

DOI10.1080/07474938.2020.1761152zbMath1490.62332OpenAlexW3005998918MaRDI QIDQ5861010

Martina Danielova Zaharieva, Bernd Wilfling, Mark Trede

Publication date: 4 March 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2020.1761152

zbMATH Keywords

Markov chain Monte CarloBayesian nonparametricsDirichlet process mixturestock-market co-movements

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) Nonparametric inference (62G99)

Uses Software

• bvarsv

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