Ishihara, Tsunehiro; Omori, Yasuhiro - Center for Advanced Research in Finance, Faculty of … - 2009
We describe and estimate for the first time a natural multivariate extension of the univariate stochastic volatility model with leverage. The model, which we call the multivariate stochastic volatility with cross leverage, is fit by a tuned Bayesian MCMC method. Of particular general interest is...