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Multivariate Stochastic Volatility - MaRDI portal

Multivariate Stochastic Volatility (Q3646962)

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Multivariate Stochastic Volatility
scientific article

    Statements

    title
    Multivariate Stochastic Volatility (English)
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    author
    Siddhartha Chib
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    Yasuhiro Omori
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    Manabu Asai
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    publication date
    27 November 2009
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    zbMATH Keywords
    multivariate stochastic volatility (MSV)
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    leverage effect
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    factor model
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    Bayesian analysis
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    Wishart process
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    91-02
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    62P05
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    zbMATH DE Number
    5640043
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    OpenAlex ID
    W1812949503
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