The structure of dynamic correlations in multivariate stochastic volatility models (Q302187)
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scientific article; zbMATH DE number 6600710
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| English | The structure of dynamic correlations in multivariate stochastic volatility models |
scientific article; zbMATH DE number 6600710 |
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The structure of dynamic correlations in multivariate stochastic volatility models (English)
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4 July 2016
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multivariate conditional volatility
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multivariate stochastic volatility
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constant correlations
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dynamic correlations
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Markov chain Monte Carlo
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0.8160247206687927
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0.811184823513031
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0.8042736649513245
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0.8023605942726135
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0.8001270294189453
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