Multivariate stochastic volatility: A review

• 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: Asymmetry; Diagnostic checking; Estimation; Factor models; Leverage; Model comparison; Multivariate stochastic volatility; Thresholds; Time-varying correlations; Transformations; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1912; https://ink.library.smu.edu.sg/context/soe_research/article/2911/viewcontent/Yu_ER_MultivariateStochasticVolatility_2006.pdf

The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last four 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, n...