Asymmetric Multivariate Stochastic Volatility (Q5485115)
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scientific article; zbMATH DE number 5050413
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymmetric Multivariate Stochastic Volatility |
scientific article; zbMATH DE number 5050413 |
Statements
Asymmetric Multivariate Stochastic Volatility (English)
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28 August 2006
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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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