مرکز منطقه ای اطلاع رساني علوم و فناوري - Multivariate stochastic volatility with Bayesian dynamic linear models

Title of article :

Multivariate stochastic volatility with Bayesian dynamic linear models

Author/Authors :

K. Triantafyllopoulos، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2008

Pages :

From page :

1021

To page :

1037

Keywords :

Time series , Volatility , Multivariate , Dynamic linear model , forecasting , Bayesian , State space , Kalman filter , GARCH , London metalexchange

Journal title :

Journal of Statistical Planning and Inference

Serial Year :

2008

Journal title :

Journal of Statistical Planning and Inference

Record number :

220679

Link To Document :