Variational Bayes approximation of factor stochastic volatility models
David Gunawan, Robert Kohn, David Nott
| Year of publication: |
2021
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|---|---|
| Authors: | Gunawan, David ; Kohn, Robert ; Nott, David |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 4, p. 1355-1375
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| Subject: | Bayesian inference | Prediction | Sequential variational inference | State space model | Stochastic gradient | Theorie | Theory | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Volatilität | Volatility | Zustandsraummodell | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2021.05.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013274279