Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models

Mathematics

• Stochastic Volatility Model 90%
• Bayesian inference 72%
• Exchange rate 48%
• Strategy 48%
• Data Augmentation 45%
• Multivariate Time Series 44%
• Factor Models 43%
• Efficient Estimation 40%
• Accelerate 37%
• Bayesian Estimation 37%
• Markov Chain Monte Carlo 35%
• Computational Cost 34%
• Covariance matrix 30%
• Simulation Study 24%
• Performance 20%
• Standards 18%

Business & Economics

• Bayesian Inference 100%
• Stochastic Volatility Model 75%
• Data Augmentation 53%
• Exchange Rates 48%
• Multivariate Time Series 44%
• Bayesian Estimation 43%
• Markov Chain Monte Carlo 41%
• Covariance Matrix 37%
• Simulation Study 32%
• Factors 23%
• Performance 13%
• Costs 13%