Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements
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Cited by:
- Audrone Virbickaite & Hedibert F. Lopes, 2018. "Bayesian Semi-Parametric Markov Switching Stochastic Volatility Model," DEA Working Papers 89, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Audronė Virbickaitė & Hedibert F. Lopes, 2019. "Bayesian semiparametric Markov switching stochastic volatility model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(4), pages 978-997, July.
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More about this item
Keywords
Bayesian nonparametrics; Markov Chain Monte Carlo; Dirichlet process mixture; multivariate stochastic volatility; stock-market co-movements;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-07-02 (Econometrics)
- NEP-ETS-2017-07-02 (Econometric Time Series)
- NEP-ORE-2017-07-02 (Operations Research)
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