Dynamic equicorrelation stochastic volatility
type: Item
instance of: scholarly article
title: Dynamic equicorrelation stochastic volatility
zbMATH Open document ID: 1466.62122
author: Yuta Kurose
author: Yasuhiro Omori
published in: Computational Statistics and Data Analysis
publication date: 2018-08-15T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6918366
zbMATH Keywords: asymmetry
zbMATH Keywords: cross leverage effect
zbMATH Keywords: dynamic equicorrelation
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: multi-move sampler
zbMATH Keywords: multivariate stochastic volatility
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.csda.2015.01.013
OpenAlex ID: W2264261968
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DOI: 10.1016/J.CSDA.2015.01.013
description: scientific article; zbMATH DE number 6918366