Portfolio single index (PSI) multivariate conditional and stochastic volatility models (Q929684)
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scientific article; zbMATH DE number 5290607
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio single index (PSI) multivariate conditional and stochastic volatility models |
scientific article; zbMATH DE number 5290607 |
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Portfolio single index (PSI) multivariate conditional and stochastic volatility models (English)
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18 June 2008
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single index models
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portfolio models
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multivariate volatility
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constant correlations
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asymmetry
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0.8473941
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0.84303683
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0.83628166
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0.8350455
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