Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
type: Item
instance of: scholarly article
title: Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
zbMATH Open document ID: 1255.62066
author: Tsunehiro Ishihara
author: Yasuhiro Omori
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 65C40
zbMATH DE Number: 6119778
zbMATH Keywords: asymmetry
zbMATH Keywords: heavy-tailed error
zbMATH Keywords: leverage effect
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: multi-move sampler
zbMATH Keywords: multivariate stochastic volatility
MaRDI profile type: Publication
full work available at URL: j.csda.2010.07.015
OpenAlex ID: W2055647384
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DOI: 10.1016/J.CSDA.2010.07.015
description: scientific article; zbMATH DE number 6119778