Dynamic equicorrelation stochastic volatility (Q1659169)
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scientific article; zbMATH DE number 6918366
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic equicorrelation stochastic volatility |
scientific article; zbMATH DE number 6918366 |
Statements
Dynamic equicorrelation stochastic volatility (English)
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15 August 2018
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asymmetry
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cross leverage effect
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dynamic equicorrelation
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Markov chain Monte Carlo
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multi-move sampler
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multivariate stochastic volatility
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