Multivariate stochastic volatility: A review
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| Online Access: | 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 |
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| Institution: | Singapore Management University |
| Language: | English |