This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate...

Estimating the volatility from the underlying asset price history for the discrete observations case is a challenging inference problem. Yet it has attracted much research interest due to the key role of volatility in many areas of finance. In this paper we consider the Heston stochastic...

Discrete-time stochastic volatility (SV) models have generated a considerable literature in financial econometrics. However, carrying out inference for these models is a difficult task and often relies on carefully customized Markov chain Monte Carlo techniques. Our contribution here is twofold....