Analysis of high dimensional multivariate stochastic volatility models
This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate stochastic...
| Autors principals: | , , |
|---|---|
| Format: | Journal article |
| Idioma: | English |
| Publicat: |
2006
|
| Matèries: |