Matrix exponential stochastic volatility with cross leverage (Q1659124)
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scientific article; zbMATH DE number 6918339
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Matrix exponential stochastic volatility with cross leverage |
scientific article; zbMATH DE number 6918339 |
Statements
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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0.8394190669059753
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0.8186965584754944
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0.8133114576339722
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0.810019314289093
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0.7841172218322754
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