Matrix exponential stochastic volatility with cross leverage (Q1659124): Difference between revisions

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Latest revision as of 09:09, 16 July 2024

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Matrix exponential stochastic volatility with cross leverage
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    Matrix exponential stochastic volatility with cross leverage (English)
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    15 August 2018
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    dynamic correlation
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    leverage effect
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    matrix exponential
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    Markov chain Monte Carlo
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    multi-move sampler
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    multivariate stochastic volatility
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