Nacinben, João Pedro Coli de Souza Monteneri; Laurini, … - In: Econometrics : open access journal 12 (2024) 1, pp. 1-28
This study introduces a multivariate extension to the class of stochastic volatility models, employing integrated … nested Laplace approximations (INLA) for estimation. Bayesian methods for estimating stochastic volatility models through … aims to establish a computationally efficient approach for estimating multivariate stochastic volatility models. We propose …