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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書目詳細資料
Main Authors:	ASAI, Manabu, McAleer, Michael, YU, Jun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2006
主題:	multivariate stochastic volatility asymmetry leverage thresholds factor models time-varying correlations transformations estimation diagnostic checking model comparison Econometrics
在線閱讀:	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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機構:	Singapore Management University
語言:	English

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