Scalable inference for a full multivariate stochastic volatility model
Year of publication: |
2023
|
---|---|
Authors: | Dellaportas, Petros ; Titsias, Michalis K. ; Petrova, Katerina ; Plataniotis, Anastasios |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 232.2023, 2, p. 501-520
|
Subject: | Bayesian analysis | Computational complexity | Givens angles | MCMC | Time-varying parameter vector | autoregressive | Theorie | Theory | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Markov-Kette | Markov chain |
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