Title

Bayesian Analysis for Hybrid MSF–SBEKK Models of Multivariate Volatility

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2009

Issue

No 2

Authors

Osiewalski, Jacek ; Pajor, Anna

Keywords

Bayesian econometrics ; Gibbs sampling ; time-varying volatility ; multivariate GARCH processes ; multivariate SV processes

Divisions of PAS

Nauki Humanistyczne i Społeczne

Coverage

179-202

Publisher

Oddział PAN w Łodzi

Date

30.06.2009

Type

Artykuły / Articles

Identifier

DOI: 10.24425/cejeme.2009.122230 ; ISSN - 2080-0886, ISSN online - 2080-119X

Source

Central European Journal of Economic Modelling and Econometrics; 2009; No 2; 179-202