Multivariate stochastic volatility with co-heteroscedasticity
Year of publication: |
September 2020 ; This version: September 2020
|
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Authors: | Chan, Joshua ; Doucet, Arnaud ; León-González, Roberto ; Strachan, Rodney W. |
Publisher: |
Tokyo, Japan : National Graduate Institute for Policy Studies |
Subject: | Markov Chain Monte Carlo | Gibbs Sampling | Flexible Parametric Model | Particle Filter | Co-heteroscedasticity | state-space | reparameterization | alternating-order | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis |
Extent: | 1 Online-Ressource (circa 45 Seiten) Illustrationen |
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Series: | GRIPS discussion papers. - Tokyo, ZDB-ID 2543335-0. - Vol. 20, 09 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.24545/00001766 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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