Multivariate stochastic volatility models based on generalized fisher transformation
Modeling multivariate stochastic volatility (MSV) can be challenging, particularly when both variances and covariances are time-varying. In this paper, we address these challenges by introducing a new MSV model based on the generalized Fisher transformation of Archakov and Hansen (2021). Our model i...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2023
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/2683 https://ink.library.smu.edu.sg/context/soe_research/article/3682/viewcontent/MSVFisher14b.pdf |
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