Multivariate wishart stochastic volatility and changes in regime
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KeywordsMultivariate stochastic volatility; Dynamic correlations; Wishart distribution; Markov switching; Markov chain Monte Carlo;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-06 (All new papers)
- NEP-ECM-2012-12-06 (Econometrics)
- NEP-ETS-2012-12-06 (Econometric Time Series)
- NEP-FOR-2012-12-06 (Forecasting)
- NEP-ORE-2012-12-06 (Operations Research)
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