Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension

Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension

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 burde...

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Bibliographic Details
Main Authors: João Pedro Coli de Souza Monteneri Nacinben, Márcio Laurini
Format: Article
Language:English
Published: MDPI AG 2024-02-01
Series:Econometrics
Subjects:
multivariate stochastic volatility
integrated nested laplace approximations
Bayesian methods
computational efficiency
Online Access:https://www.mdpi.com/2225-1146/12/1/5

Internet

https://www.mdpi.com/2225-1146/12/1/5

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