Multivariate Stochastic Volatility: An Overview

DOI10.1080/07474930600712806MaRDI QIDQ5485101zbMATH OpenOpenAlexFDO

Authors Esfandiar Maasoumi, Michael McAleer

Publication date 28 August 2006

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930600712806

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited in

(11)

• Multivariate stochastic volatility with Bayesian dynamic linear models
• Analysis of high dimensional multivariate stochastic volatility models
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• scientific article; zbMATH DE number 5299701 (Why is no real title available?)
• Realized Volatility and Long Memory: An Overview
• Multivariate Stochastic Volatility
• Real-time covariance estimation for the local level model
• Exponential series estimator of multivariate densities
• Wavelet-based multi-resolution GARCH model for financial spillover effects
• Extremal quantiles and stock price crashes
• Multivariate volatility in environmental finance

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