Multivariate stochastic volatility with co-heteroscedasticity
by Joshua Chan, Arnaud Doucet, Roberto León-González, Rodney W. Strachan
| Year of publication: |
September 2020 ; This version: September 2020
|
|---|---|
| Authors: | Chan, Joshua ; Doucet, Arnaud ; León-González, Roberto ; Strachan, Rodney W. |
| Publisher: |
Tokyo, Japan : National Graduate Institute for Policy Studies |
| Subject: | Markov Chain Monte Carlo | Gibbs Sampling | Flexible Parametric Model | Particle Filter | Co-heteroscedasticity | state-space | reparameterization | alternating-order | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Zustandsraummodell | State space model | Bayes-Statistik | Bayesian inference |
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