Multivariate stochastic volatility model with cross leverage (Q3298481)
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scientific article; zbMATH DE number 7220435
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Multivariate stochastic volatility model with cross leverage |
scientific article; zbMATH DE number 7220435 |
Statements
Multivariate Stochastic Volatility Model with Cross Leverage (English)
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14 July 2020
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asymmetry
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Bayesian analysis
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leverage effect
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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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stock returns
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0.916853129863739
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0.8488778471946716
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0.8394190669059753
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0.8188231587409973
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0.8187878131866455
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