Arnaud Doucet

University of Oxford

Mansfield Road

Oxford, Oxfordshire OX1 4AU

United Kingdom

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Multivariate Stochastic Volatility with Co-Heteroscedasticity

CAMA Working Paper No. 52/2018
Number of pages: 42 Posted: 22 Oct 2018
University of Technology Sydney (UTS) - UTS Business School, University of Oxford, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
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Abstract:

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Markov Chain Monte Carlo, Gibbs Sampling, Flexible Parametric Model, Particle Filter, Co-heteroscedasticity, state-space, reparameterization, alternating-order