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Search: subject:"multivariate stochastic volatility"
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multivariate stochastic volatility
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1
Multivariate
stochastic
volatility
models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
2
Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny
-
2020
Cholesky
multivariate
stochastic
volatility
model.It establishes that systematically different dynamic restrictions are imposed …
Persistent link: https://www.econbiz.de/10012250452
Saved in:
3
Estimating high dimensional
multivariate
stochastic
volatility
models
Pelagatti, Matteo
;
Sbrana, Giacomo
-
2020
Persistent link: https://www.econbiz.de/10012318391
Saved in:
4
From the "Great Inflation" to the "Great Moderation" in Peru : a time varying structural vector autoregressions analysis
Castillo B., Paul
;
Montoya, Jimena
;
Quineche, Ricardo
-
2016
Persistent link: https://www.econbiz.de/10011503984
Saved in:
5
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
-
2014
forecasting, the authors propose a new factor
multivariate
stochastic
volatility
(fMSV) model for realized covariance measures …
Persistent link: https://www.econbiz.de/10010259630
Saved in:
6
Forecasting value-at-risk using block structure
multivariate
stochastic
volatility
models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009767006
Saved in:
7
A fractionally integrated wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724817
Saved in:
8
Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724148
Saved in:
9
Multivariate
stochastic
volatility
with dynamic cross leverage
Trojan, Sebastian
-
2014
Persistent link: https://www.econbiz.de/10010437486
Saved in:
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