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Multivariate stochastic volatility models : Bayesian estimation and model comparison
Yu, Jun; Meyer, Renate - In: Econometric reviews 25 (2006) 2/3, pp. 361-384
Persistent link: https://www.econbiz.de/10003355796
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Monte Carlo likelihood estimation for three multivariate stochastic volatility models
Jungbacker, Borus; Meyer, Renate; Koopman, Siem Jan - In: Econometric reviews 25 (2006) 2/3, pp. 385-408
Persistent link: https://www.econbiz.de/10003355799
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Deviance information criterion as a model comparison criterion for stochastic volatility models
Berg, Andreas; Meyer, Renate; Yu, Jun - 2002
Persistent link: https://www.econbiz.de/10001690310
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Stochastic volatility : Bayesian computation using automatic differentiation and the extended Kalman filter
Meyer, Renate; Fournier, David A.; Berg, Andreas - In: The econometrics journal 6 (2003) 2, pp. 408-420
Persistent link: https://www.econbiz.de/10001831283
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Deviance information criterion for comparing stochastic volatility models
Berg, Andreas; Meyer, Renate; Yu, Jun - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 1, pp. 107-120
Persistent link: https://www.econbiz.de/10001891469
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BUGS for a Bayesian analysis of stochastic volatility models
Meyer, Renate; Yu, Jun - 2000
Persistent link: https://www.econbiz.de/10001513469
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BUGS for a Bayesian analysis of stochastic volatility models
Meyer, Renate; Yu, Jun - In: The econometrics journal 3 (2000) 2, pp. 198-215
Persistent link: https://www.econbiz.de/10001546183