Multivariate Stochastic Volatility: A Review (Q5485102)
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scientific article; zbMATH DE number 5050402
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate Stochastic Volatility: A Review |
scientific article; zbMATH DE number 5050402 |
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Multivariate Stochastic Volatility: A Review (English)
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28 August 2006
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asymmetry
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diagnostic checking
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estimation
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factor models
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leverage
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model comparison
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multivariate stochastic volatility
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thresholds
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time-varying correlations
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transformations
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diffusion models
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GARCH
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