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In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
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. Die zweite Auflage basiert auf Version 18 des Softwareprogramms SPSS, die auch unter der Bezeichnung PASW Statistics …
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quantify inter-market relations. The approach is based on the correlations between the market index, the index volatility, the … market Index Cohesive Force and the meta-correlations (correlations between the intra-correlations.) We investigated the … "identity'' - it switches between periods of high meta-correlations with the "western'' markets and periods that it behaves more …
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