Marco Tronzano

Università degli Studi di Genova

Via Vivaldi 5

Genova, 16126

Italy

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Scholarly Papers (1)

1.

Bayesian Markov Switching Stochastic Correlation Models

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 11/WP/2013
Number of pages: 53 Posted: 08 Jun 2013
Roberto Casarin, Marco Tronzano and Domenico Sartore
University Ca' Foscari of Venice - Department of Economics, Università degli Studi di Genova and Ca Foscari University of Venice - Dipartimento di Economia
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Abstract:

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Stochastic Correlation, Multivariate Stochastic Volatility, Markov-switching, Bayesian Inference, Monte Carlo Markov Chain