Posterior correlation matrices for 26 daily EUR exchange rate log returns



For each element, the size of the outer/inner circle is determined by the posterior mean plus/minus two posterior standard deviations, thereby indicating posterior uncertainty. Color and opacity are determined by the posterior mean.

This is a supplement to: Gregor Kastner, Sylvia Frühwirth-Schnatter, and Hedibert Freitas Lopes (2017). Efficient Bayesian inference for multivariate factor stochastic volatility models. Journal of Computational and Graphical Statistics, 26(4): 905-917. https://doi.org/10.1080/10618600.2017.1322091.

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Posterior correlation matrices for 26 daily EUR exchange rate log returns

For each element, the size of the outer/inner circle is determined by the posterior mean plus/minus two posterior standard deviations, thereby indicating posterior uncertainty. Color and opacity are determined by the posterior mean.



This is a supplement to: Gregor Kastner, Sylvia Frühwirth-Schnatter, and Hedibert Freitas Lopes (2017). Efficient Bayesian inference for multivariate factor stochastic volatility models. Journal of Computational and Graphical Statistics, 26(4): 905-917. https://doi.org/10.1080/10618600.2017.1322091.