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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書目詳細資料
主要作者:	CHEN, Han
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2020
主題:	Stochastic volatility Dynamic correlation Multivariate asset returns Particle Filter Markov Chain Monte Carlo Realized Measures Econometrics
在線閱讀:	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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