Casarin, Roberto; Sartore, Domenico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2007
This work deals with multivariate stochastic volatility models, which account for a time-varying variance-covariance structure of the observable variables. We focus on a special class of models recently proposed in the literature and assume that the covariance matrix is a latent variable which...