Multivariate stochastic volatility

Multivariate stochastic volatility

The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation and evaluation of MSV models. A wide range of MSV models is presented according to various categories, nam...

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Bibliographic Details
Main Authors: ASAI, Manabu, McAleer, Michael, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2006
Subjects:
multivariate stochastic volatility
asymmetry
leverage
thresholds
factor models
time-varying correlations
transformations
estimation
diagnostic checking
model comparison
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1130
https://ink.library.smu.edu.sg/context/soe_research/article/2129/viewcontent/svmulti_survey04_A21.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1130
https://ink.library.smu.edu.sg/context/soe_research/article/2129/viewcontent/svmulti_survey04_A21.pdf

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