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Multivariate stochastic volatility models with correlated errors
Chan, David; Kohn, Robert; Kirby, Chris - In: Econometric reviews 25 (2006) 2/3, pp. 245-274
Persistent link: https://www.econbiz.de/10003355764
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Factor multivariate stochastic volatility via Wishart processes
Philipov, Alexander; Glickman, Mark E. - In: Econometric reviews 25 (2006) 2/3, pp. 311-334
Persistent link: https://www.econbiz.de/10003355767
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Classical and Bayesian analysis of unvariate and multivariate stochastic volatility models
Liesenfeld, Roman; Richard, Jean-François - In: Econometric reviews 25 (2006) 2/3, pp. 335-360
Persistent link: https://www.econbiz.de/10003355771
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Asymmetric multivariate stochastic volatility
Asai, Manabu; McAleer, Michael - In: Econometric reviews 25 (2006) 2/3, pp. 453-473
Persistent link: https://www.econbiz.de/10003355815
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A multivariate threshold varying conditional correlations model
Kwan, W.; Li, Wai Keung; Ng, K. W. - In: Econometric reviews 29 (2010) 1, pp. 20-38
Persistent link: https://www.econbiz.de/10003943399
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High-dimensional penalized arch processes
Poignard, Benjamin; Fermanian, Jean-David - In: Econometric reviews 40 (2021) 1, pp. 86-107
Persistent link: https://www.econbiz.de/10012483797
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A multivariate volatility vine copula model
Brechmann, E. C.; Heiden, M.; Okhrin, Y. - In: Econometric reviews 37 (2018) 1/5, pp. 281-308
Persistent link: https://www.econbiz.de/10012038690
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Multivariate return decomposition : theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolaj - In: Econometric reviews 38 (2019) 5, pp. 487-508
Persistent link: https://www.econbiz.de/10012181325
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A robust score-driven filter for multivariate time series
D'Innocenzo, Enzo; Luati, Alessandra; Mazzocchi, Mario - In: Econometric reviews 42 (2023) 5, pp. 441-470
Persistent link: https://www.econbiz.de/10014305555