Matrix exponential stochastic volatility with cross leverage
نویسندگان
چکیده
منابع مشابه
Matrix exponential stochastic volatility with cross leverage
A multivariate stochastic volatility model with the dynamic correlation and the cross leverage effect is described and its efficient estimation method using Markov chain Monte Carlo is proposed. The time-varying covariance matrices are guaranteed to be positive definite by using a matrix exponential transformation. Of particular interest is our approach for sampling a set of latent matrix logar...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2016
ISSN: 0167-9473
DOI: 10.1016/j.csda.2014.10.012