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Multivariate Stochastic Volatility via Wishart Processes: A Comment

Author

Listed:
  • Wolfgang Rinnergschwentner
  • Gottfried Tappeiner
  • Janette Walde

Abstract

This comment refers to an error in the methodology for estimating the parameters of the model developed by Philipov and Glickman for modeling multivariate stochastic volatility via Wishart processes. For estimation they used Bayesian techniques. The derived expressions for the full conditionals of the model parameters as well as the expression for the acceptance ratio of the covariance matrix are erroneous. In this erratum all necessary formulae are given to guarantee an appropriate implementation and application of the model.

Suggested Citation

  • Wolfgang Rinnergschwentner & Gottfried Tappeiner & Janette Walde, 2012. "Multivariate Stochastic Volatility via Wishart Processes: A Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 164-164.
    • Handle: RePEc:taf:jnlbes:v:30:y:2012:i:1:p:164-164
    DOI: 10.1080/07350015.2012.634358
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