Add to ORKGPublished in Econometric Reviews, 2006. https://doi.org/10.1080/07474930600713465</p
We propose a moving average stochastic volatility in mean model and a moving average stochastic vola...
We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series ...
In the paper we compare the modelling ability of discrete-time multivariate Stochastic Volatility mo...
Published in Econometric Reviews, 2006. https://doi.org/10.1080/07474930600713564</p
This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional mu...
This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional mu...
This paper is concerned with the Bayesian estimation and comparison of flexible, high di-mensional m...
It has long been recognised that the return volatility of financial assets tends to vary over time w...
Paper presented at the 4th Strathmore International Mathematics Conference (SIMC 2017), 19 - 23 June...
We develop importance sampling methods for computing two popular Bayesian model comparison criteria,...
Publicado además en: The Review of Economic Studies, 1994, vol. 61, n. 2, p. 247-264Publicado ad...
The entire dissertation/thesis text is included in the research.pdf file; the official abstract appe...
Stochastic volatility models are important tools for studying the behavior of many financial markets...
Stochastic volatility models present a natural way of working with time-varying volatility. However ...
We propose a Bayesian stochastic search approach to selecting restrictions on multivariate regressio...
We propose a moving average stochastic volatility in mean model and a moving average stochastic vola...
We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series ...
In the paper we compare the modelling ability of discrete-time multivariate Stochastic Volatility mo...
Published in Econometric Reviews, 2006. https://doi.org/10.1080/07474930600713564</p
This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional mu...
This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional mu...
This paper is concerned with the Bayesian estimation and comparison of flexible, high di-mensional m...
It has long been recognised that the return volatility of financial assets tends to vary over time w...
Paper presented at the 4th Strathmore International Mathematics Conference (SIMC 2017), 19 - 23 June...
We develop importance sampling methods for computing two popular Bayesian model comparison criteria,...
Publicado además en: The Review of Economic Studies, 1994, vol. 61, n. 2, p. 247-264Publicado ad...
The entire dissertation/thesis text is included in the research.pdf file; the official abstract appe...
Stochastic volatility models are important tools for studying the behavior of many financial markets...
Stochastic volatility models present a natural way of working with time-varying volatility. However ...
We propose a Bayesian stochastic search approach to selecting restrictions on multivariate regressio...
We propose a moving average stochastic volatility in mean model and a moving average stochastic vola...
We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series ...
In the paper we compare the modelling ability of discrete-time multivariate Stochastic Volatility mo...