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...
Saved in:
| Main Author: | |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |