Bayesian semiparametric multivariate stochastic volatility with application
Martina Danielova Zaharieva, Mark Trede, and Bernd Wilfling
| Year of publication: |
2020
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|---|---|
| Authors: | Zaharieva, Martina Danielova ; Trede, Mark ; Wilfling, Bernd |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 39.2020, 9, p. 947-970
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| Subject: | Bayesian nonparametrics | Dirichlet process mixture | Markov chain Monte Carlo | stock-market co-movements | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Monte-Carlo-Simulation | Monte Carlo simulation | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2020.1761152 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012295590