Essays on multivariate stochastic volatility models

Essays on multivariate stochastic volatility models

In this dissertation, I have made several contributions to the literature on the multivariate stochastic volatility model. First, I have considered a new multivariate stochastic volatility (MSV) model based on a recently proposed novel parameterization of the correlation matrix. This modeling design...

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Bibliographic Details
Main Author: CHEN, Han
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Stochastic volatility
Dynamic correlation
Multivariate asset returns
Particle Filter
Markov Chain Monte Carlo
Realized Measures
Econometrics
Online Access:https://ink.library.smu.edu.sg/etd_coll/305
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1315&context=etd_coll
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/etd_coll/305
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1315&context=etd_coll

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