This study analyzes the dynamic relationship between health status and expenditures on repeated multiple treatments, which are typical in long-term care. To facilitate causal inferences where complex dynamic interdependencies exist between many variables, we adopt a structural vector...

A multivariate stochastic volatility model with the dynamic correlation and the cross leverage effect is described and its efficient estimation method using Markov chain Monte Carlo is proposed. The time-varying covariance matrices are guaranteed to be positive definite by using a matrix...

A multivariate stochastic volatility model with the dynamic correlation and the cross leverage effect is described and its efficient estimation method using Markov chain Monte Carlo is proposed. The time-varying covariance matrices are guaranteed to be positive definite by using a matrix...

　　 A multivariate stochastic volatility model with the dynamic correlation and the cross leverage effect is described and its efficient estimation method using Markov chain Monte Carlo is proposed. The time-varying covariance matrices are guaranteed to be positive denite by using a...

An efficient Bayesian estimation using a Markov chain Monte Carlo method is proposed in the case of a multivariate stochastic volatility model as a natural extension of the univariate stochastic volatility model with leverage and heavy-tailed errors. Note that we further incorporate...

An efficient Bayesian estimation using a Markov chain Monte Carlo method is proposed in the case of a multivariate stochastic volatility model as a natural extension of the univariate stochastic volatility model with leverage and heavy-tailed errors. Note that we further incorporate...

The efficient Bayesian estimation method using Markov chain Monte Carlo is proposed for a multivariate stochastic volatility model that is a natural extension of the univariate stochastic volatility model with leverage and heavy-tailed errors, where we further incorporate cross leverage effects...

The stochastic volatility model has been popular to explain a dynamic structure of financial time series such asset returns. In this paper, we first consider the asymmetry that the increase in the volatility is followed by the decrease in the asset return. Then, we consider a Markov switching of...