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    Bayesian estimation of Multivariate Stochastic Volatility by applying state space models 

    Agasa, Lameck; Ombasa, Kiame (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 ...
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    Bayesian analysis of Multivariate Stochastic Volatility models 

    Agasa, Lameck; Shitandi, Anakalo (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 ...

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    Agasa, Lameck (2)
    Ombasa, Kiame (1)Shitandi, Anakalo (1)SubjectBayesian analysis (1)Multivariate Stochastic Volatility (MSV) (1)Multivariate Stochastic Volatility models (1)State space models (1)... View MoreDate Issued2017 (2)Has File(s)
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