Asymmetric Multivariate Stochastic Volatility (Q5485115)

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scientific article; zbMATH DE number 5050413
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Asymmetric Multivariate Stochastic Volatility
scientific article; zbMATH DE number 5050413

    Statements

    title
    Asymmetric Multivariate Stochastic Volatility (English)
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    author
    Manabu Asai
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    Michael McAleer
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    publication date
    28 August 2006
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    Mathematics Subject Classification ID
    62P05
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    62H12
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    65C05
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    zbMATH DE Number
    5050413
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    zbMATH Keywords
    asymmetric leverage
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    Bayesian Markov chain Monte Carlo
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    dynamic leverage
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    importance sampling
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    multivariate stochastic volatility
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    numerical likelihood
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    size effect
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    OpenAlex ID
    W2119835637
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