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Multivariate Stochastic Volatility via Wishart Processes: A Comment |
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| Authors: | Wolfgang Rinnergschwentner Gottfried Tappeiner Janette Walde |
| Institution: | 1. Department of Statistics , University of Innsbruck , Innsbruck , A-6020;2. Department of Economic Theory, Economic Policy and Economic History , University of Innsbruck , Innsbruck , A-6020 |
| Abstract: | This comment refers to an error in the methodology for estimating the parameters of the model developed by Philipov and Glickman for modeling multivariate stochastic volatility via Wishart processes. For estimation they used Bayesian techniques. The derived expressions for the full conditionals of the model parameters as well as the expression for the acceptance ratio of the covariance matrix are erroneous. In this erratum all necessary formulae are given to guarantee an appropriate implementation and application of the model. |
| Keywords: | Bayesian time series Stochastic covariance Time-varying correlation Markov Chain Monte Carlo |