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Bayesian inference in a time varying cointegration model

โœ Scribed by Gary Koop; Roberto Leon-Gonzalez; Rodney W. Strachan

Book ID
113700346
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
343 KB
Volume
165
Category
Article
ISSN
0304-4076

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There is strong empirical evidence that dependence in multivariate financial time series varies over time. To model this effect, a time varying copula class is developed, which is called the stochastic copula autoregressive (SCAR) model. Dependence at time t is modeled by a real-valued latent variab