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 Markov Chain Monte Carlo (MCMC) can become computationally...
