Multivariate stochastic volatility with co-heteroscedasticity
Joshua Chan, Arnaud Doucet, Roberto León-González and Rodney W. Strachan
| Year of publication: |
2025
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|---|---|
| Authors: | Chan, Joshua ; Doucet, Arnaud ; León-González, Roberto ; Strachan, Rodney W. |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 29.2025, 3, p. 265-300
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| Subject: | co-heteroscedasticity | flexible parametric model | Gibbs sampling | Markov chain Monte Carlo | particle filter | state-space | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2023-0056 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015438126