Browsing by Title "Bayesian analysis of multivariate stochastic volatility and dynamic models"
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Bayesian analysis of multivariate stochastic volatility and dynamic models
(University of Missouri--Columbia, 2006)We consider a multivariate regression model with time varying volatilities in the error term. The time varying volatility for each component of the error is of unknown nature, may be deterministic or stochastic. We propose ...