Multivariate Stochastic Volatility: A Review
نویسندگان
چکیده
منابع مشابه
Multivariate Stochastic Volatility: a Review
The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation, and evaluation of MSV models. A wide range of MSV models is presented according to various categories, namely, (i) asymmetric models, (ii) factor models, (iii) time-varying correlation models, and (iv) ...
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Anastasios Plataniotis and Petros Dellaportas [email protected] [email protected] Department of Statistics, Athens University of Economics and Business, Greece Summary: We introduce a broad class of multivariate stochastic volatility models where transformed eigenvalues and Givens rotation angles are assumed to be AR(1) processes. This decomposition retains the required positive definite structure of...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2006
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474930600713564