Kim, Shephard, and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which is known to be important in applications. Despite this, their basic method has...

The success of univariate stochastic volatility (SV) models in relation to univariate GARCH models has spurred an enormous interest in generalizations of SV models to a multivariate setting. A large number of multivariate SV (MSV) models are now available along with clearly articulated...