The structure of dynamic correlations in multivariate stochastic volatility models

DOI10.1016/j.jeconom.2008.12.012zbMath1429.62457OpenAlexW2070585177MaRDI QIDQ302187

Manabu Asai, Michael McAleer

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.012

zbMATH Keywords

Markov chain Monte Carlodynamic correlationsconstant correlationsmultivariate conditional volatilitymultivariate stochastic volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Multivariate Stochastic Volatility: A Review
• Continuous Time Wishart Process for Stochastic Risk
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• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Asymmetric Multivariate Stochastic Volatility
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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