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Selection of multivariate stochastic volatility models via Bayesian stochastic search

Loddo, Antonello; Ni, Shawn X.; Sun, Dongchu - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 3, pp. 342-355

Persistent link: https://www.econbiz.de/10009232550

Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search

Ni, Shawn; Loddo, Antonello; Sun, Dongchu - Economics Department, University of Missouri - 2009

We propose a Bayesian stochastic search approach to selecting restrictions on multivariate regression models where the errors exhibit deterministic or stochastic conditional volatilities. We develop a Markov Chain Monte Carlo (MCMC) algorithm that generates posterior restrictions on the...

Persistent link: https://www.econbiz.de/10010933593

Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search

Loddo, Antonello; Ni, Shawn; Sun, Dongchu - In: Journal of Business & Economic Statistics 29 (2011) 3, pp. 342-355

Persistent link: https://www.econbiz.de/10009358098

Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search

Loddo, Antonello; Ni, Shawn; Sun, Dongchu - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 3, pp. 342-356

Persistent link: https://www.econbiz.de/10009179756

Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search

Loddo, Antonello; Ni, Shawn; Sun, Dongchu - In: Journal of Business & Economic Statistics 29 (2011) 3, pp. 342-355

We propose a Bayesian stochastic search approach to selecting restrictions on multivariate regression models where the errors exhibit deterministic or stochastic conditional volatilities. We develop a Markov chain Monte Carlo (MCMC) algorithm that generates posterior restrictions on the...

Persistent link: https://www.econbiz.de/10010710915