Multivariate stochastic volatility

• المؤلفون الرئيسيون: ASAI, Manabu, McAleer, Michael, YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2006
• الموضوعات: multivariate stochastic volatility; asymmetry; leverage; thresholds; factor models; time-varying correlations; transformations; estimation; diagnostic checking; model comparison; Econometrics
• 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

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...