Matrix exponential stochastic volatility with cross leverage (Q1659124)
From MaRDI portal
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
0 references
0 references
