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Scalable inference for a full multivariate stochastic volatility model

Dellaportas, P; Titsias, M; Petrova, K; Plataniotis, A; (2022) Scalable inference for a full multivariate stochastic volatility model. Journal of Econometrics (In press).

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Type: Article
Title: Scalable inference for a full multivariate stochastic volatility model
Publisher version: https://www.journals.elsevier.com/journal-of-econo...
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
URI: https://discovery.ucl.ac.uk/id/eprint/10135464
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