Multivariate Stochastic Volatility via Wishart Processes - A Continuation
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References listed on IDEAS
- Philipov, Alexander & Glickman, Mark E., 2006. "Multivariate Stochastic Volatility via Wishart Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 313-328, July.
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KeywordsBayesian time series; Stochastic covariance; Timevarying correlation; Markov Chain Monte Carlo;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-09 (All new papers)
- NEP-ECM-2011-10-09 (Econometrics)
- NEP-ETS-2011-10-09 (Econometric Time Series)
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