Multivariate Stochastic Volatility Models with Correlated Errors
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Publication:5485105
DOI10.1080/07474930600713309zbMath1113.62127MaRDI QIDQ5485105
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Publication date: 28 August 2006
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930600713309
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
65C40: Numerical analysis or methods applied to Markov chains
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Cites Work
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- Multivariate Stochastic Variance Models
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- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
- Asymmetric Multivariate Stochastic Volatility
- Dynamic Asymmetric Leverage in Stochastic Volatility Models
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
