Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models

Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models

We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, Journal of Computational and Graphical Statistics, 20(3), 531-570, 2011) to substantia...

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Bibliographic Details
Main Authors: Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas
Format: Others
Language:en
Published: WU Vienna University of Economics and Business 2016
Subjects:
Ancillarity-sufficiency interweaving strategy (ASIS) / Curse of dimensionality / Data augmentation / Dynamic covariance matrices / Exchange rate data / Markov chain Monte Carlo (MCMC)
Online Access:http://epub.wu.ac.at/4875/1/research_report_updated.pdf

Internet

http://epub.wu.ac.at/4875/1/research_report_updated.pdf

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