Multivariate Stochastic Volatility: A Review

DOI10.1080/07474930600713564zbMath1107.62108OpenAlexW2045411880MaRDI QIDQ5485102

Michael McAleer, Manabu Asai, Jun Yu

Publication date: 28 August 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1912

zbMATH Keywords

asymmetrythresholdsestimationtransformationsGARCHleveragefactor modelsdiffusion modelsmodel comparisontime-varying correlationsmultivariate stochastic volatilitydiagnostic checking

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical analysis or methods applied to Markov chains (65C40)

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