Multivariate stochastic volatility

• 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

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...