Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yuta Yamauchi and Yasuhiro Omori
| Year of publication: |
2023
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|---|---|
| Authors: | Yamauchi, Yuta ; Omori, Yasuhiro |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 42.2023, 6, p. 513-539
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| Subject: | Dynamic factor | Markov chain Monte Carlo | portfolio performance | realized covariance matrix | stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Korrelation | Correlation | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Theorie | Theory | Portfolio-Management | Portfolio selection | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2023.2209007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014305574