Efficient Bayesian inference for stochastic time-varying copula models

Article

Abstract: There is strong empirical evidence that dependence in multivariate financial time series varies over

Palabras claves:

Bayesian inference, Coarse grid sampler, Kendall's τ, Markov Chain Monte Carlo, Non-Gaussian copulas, Time varying dependence

Autores:

Carlos Almeida, Czado C.

Fuentes:

scopus