Multivariate stochastic volatility models: Bayesian estimation and model comparison

Econometric Reviews

Volumn 25, Issue 2-3, 2006, Pages 361-384

  Yu, Jun ^a   Meyer, Renate ^b  

^a SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

Author keywords

DIC; Factors; Granger causality in volatility; Heavy tailed distributions; MCMC; Multivariate stochastic volatility; Time varying correlations

Indexed keywords

EID: 33747763372     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930600713465     Document Type: Article

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