distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …

We develop a Bayesian approach for parsimoniously estimating the correlation structure of the errors in a multivariate … stochastic volatility model. Since the number of parameters in the joint correlation matrix of the return and volatility errors … is potentially very large, we impose a prior that allows the off-diagonal elements of the inverse of the correlation …