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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| المؤلفون الرئيسيون: | , , |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2006
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| الموضوعات: | |
| الوصول للمادة أونلاين: | 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 |
| الوسوم: |
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