Browsing Department of Economics (MU) by Title "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search"
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Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
(Department of Economics, 2009)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 ...