Asymmetric Multivariate Stochastic Volatility

DOI10.1080/07474930600712913zbMath1112.62116OpenAlexW2119835637MaRDI QIDQ5485115

Michael McAleer, Manabu Asai

Publication date: 28 August 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930600712913

zbMATH Keywords

importance samplingsize effectmultivariate stochastic volatilityBayesian Markov chain Monte Carloasymmetric leveragedynamic leveragenumerical likelihood

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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