Bayesian semiparametric multivariate stochastic volatility with application
Year of publication: |
2020
|
---|---|
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
|
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 |
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