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    Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search

    Loddo, Antonello, 1976-
    Ni, Shawn, 1962-
    Sun, Dongchu
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    [PDF] SelectionMultivariateStochastic.pdf (330.9Kb)
    Date
    2009
    Format
    Working Paper
    Metadata
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    Abstract
    We propose a Bayesian stochastic search approach to selecting restrictions on multivariate regression models where the errors exhibit deterministic or stochastic conditional volatilities. We develop a Markov Chain Monte Carlo (MCMC) algorithm that generates posterior restrictions on the regression coefficients and Cholesky decompositions of the covariance matrix of the errors. Numerical simulations with artificially generated data show that the proposed method is effective in selecting the data-generating model restrictions and improving the forecasting performance of the model. Applying the method to daily foreign exchange rate data, we conduct stochastic search on a VAR model with stochastic conditional volatilities.
    URI
    http://hdl.handle.net/10355/10307
    Part of
    Working papers (Department of Economics);WP 09-11
    Part of
    Economics publications (MU)
    Citation
    Department of Economics, 2009
    Rights
    OpenAccess.
    This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License.
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    • Economics publications (MU)

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