Dynamic equicorrelation stochastic volatility
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Publication:1659169
DOI10.1016/j.csda.2015.01.013zbMath1466.62122OpenAlexW2264261968MaRDI QIDQ1659169
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2015.01.013
asymmetryMarkov chain Monte Carlomultivariate stochastic volatilitymulti-move samplercross leverage effectdynamic equicorrelation
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)
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