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Bayesian estimation of Multivariate Stochastic Volatility by applying state space models
(Strathmore University, 2017)
This work seeks to apply a Bayesian analysis in estimating multivariate stochastic volatility (MSV) using state space models. A multiplicative model based on inverted Wishart and multivariate singular beta distributions ...
Bayesian analysis of Multivariate Stochastic Volatility models
(Strathmore University, 2017)
Multivariate stochastic volatility (MSV) models have gained applicability in Time Series (TS) data for analyzing multivariate financial and economic time series because they capture the volatility dynamics. Bayesian prior ...