Dynamic correlation multivariate stochastic volatility with latent factors (Q6089161)
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scientific article; zbMATH DE number 7778321
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| default for all languages | No label defined |
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| English | Dynamic correlation multivariate stochastic volatility with latent factors |
scientific article; zbMATH DE number 7778321 |
Statements
Dynamic correlation multivariate stochastic volatility with latent factors (English)
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14 December 2023
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correlation breakdown
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interval forecast efficiency
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log-concavity
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multivariate stochastic volatility
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Wishart processes
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0.8111751079559326
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0.8080306649208069
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0.7934731841087341
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0.79293292760849
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0.7897139191627502
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