Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
Year of publication: |
2009-10-12
|
---|---|
Authors: | Ni, Shawn ; Loddo, Antonello ; Sun, Dongchu |
Institutions: | Economics Department, University of Missouri |
Subject: | Bayesian VAR | Particle Filter | Markov Chain Monte Carlo | Model Selection |
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