Chen, Shieh-Liang; Huang, Shian-Chang; Lin, Yi-Mien - In: Applied Economics Letters 14 (2007) 2, pp. 127-133
In this article, we employ a multivariate stochastic volatility (MSV) model to investigate the return and volatility interactions among three major Asian stock indices and the NASDAQ index. Using Laplace approximation to simplify the calculation of the likelihood function of the MSV model, we...