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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| 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 |