Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors

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Note (General)：: application/pdfRevised version of CIRJE-F-690 (2009) and CIRJE-F-700 (2009), forthcoming in Computational Statistics and Data Analysis.本文ファイルはリンク先を参照の...

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Material Type: 文書・図像類
Title: Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
Author/Editor: Ishihara, Tsunehiro
Omori, Yasuhiro
Author Heading: Ishihara, Tsunehiro
Omori, Yasuhiro
Publication, Distribution, etc.: 日本経済国際共同センター
Publication Date: 2010-05
Publication Date (W3CDTF): 2010-05
Periodical title: Discussion paper series. CIRJE-F
No. or year of volume/issue: CIRJE-F-746
Volume: CIRJE-F-746
Text Language Code: eng
Subject Heading: Asymmetry
Heavy-tailed error
Leverage effect
Markov chain Monte Carlo
Multi-move sampler
Multivariate stochastic volatility
NDC: 335
Target Audience: 一般
Note (General): application/pdf
Revised version of CIRJE-F-690 (2009) and CIRJE-F-700 (2009), forthcoming in Computational Statistics and Data Analysis.
本文ファイルはリンク先を参照のこと
Related Material (URI): URI
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf746ab.html
Periodical Title (NCID): AA11450569
https://ci.nii.ac.jp/ncid/AA11450569
Has Version (URI): URI
http://doi.org/10.1016/j.csda.2010.07.015
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 東京大学 : 東京大学学術機関リポジトリ