Scalable inference for a full multivariate stochastic volatility model
Petros Dellaportas, Michalis K. Titsias, Katerina Petrova, Anastasios Plataniotis
| 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 | Bayes-Statistik | Bayesian inference | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | VAR-Modell | VAR model | Schätzung | Estimation | Theorie | Theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Induktive Statistik | Statistical inference |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.09.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014340078