Multivariate Stochastic Volatility Models : Bayesian Estimation and Model Comparison

@inproceedings{Yu2004MultivariateSV,
  title={Multivariate Stochastic Volatility Models : Bayesian Estimation and Model Comparison},
  author={Jun Yu},
  year={2004}
}
In this paper we show that fully likelihood-based estimation and comparison of multivariate stochastic volatility (SV) models can be easily performed via a freely available Bayesian software called WinBUGS. Moreover, we introduce to the literature several new specifications which are natural extensions to certain existing models, one of which allows for time varying correlation coefficients. Ideas are illustrated by fitting, to a bivariate time series data of weekly exchange rates, nine… CONTINUE READING

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