Multivariate stochastic volatility models with correlated errors

Econometric Reviews

Volumn 25, Issue 2-3, 2006, Pages 245-274

  Chan, David ^a   Kohn, Robert ^b   Kirby, Chris ^c  

^a Cendant Corporation   (United States)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

^c Bowling Green State University   (United States)

Author keywords

Bayesian estimation; Correlation matrix; Leverage; Markov chain Monte Carlo; Model averaging

Indexed keywords

EID: 33747792112     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930600713309     Document Type: Article

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