Matrix exponential stochastic volatility with cross leverage
type: Item
instance of: scholarly article
title: Matrix exponential stochastic volatility with cross leverage
zbMATH Open document ID: 1466.62109
author: Tsunehiro Ishihara
author: Yasuhiro Omori
author: Manabu Asai
published in: Computational Statistics and Data Analysis
publication date: 2018-08-15T00:00:00Z
full work available at URL: 2013cf904.pdf
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6918339
zbMATH Keywords: dynamic correlation
zbMATH Keywords: leverage effect
zbMATH Keywords: matrix exponential
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: multi-move sampler
zbMATH Keywords: multivariate stochastic volatility
describes a project that uses: FinTS
MaRDI profile type: Publication
OpenAlex ID: W1979163451
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DOI: 10.1016/J.CSDA.2014.10.012
description: scientific article; zbMATH DE number 6918339