Matrix exponential stochastic volatility with cross leverage (Q1659124): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 05:28, 1 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Matrix exponential stochastic volatility with cross leverage |
scientific article |
Statements
Matrix exponential stochastic volatility with cross leverage (English)
0 references
15 August 2018
0 references
dynamic correlation
0 references
leverage effect
0 references
matrix exponential
0 references
Markov chain Monte Carlo
0 references
multi-move sampler
0 references
multivariate stochastic volatility
0 references
