Narrow search
Showing 1 - 10 of 674,882
Cover Image
Multivariate wishart stochastic volatility and changes in regime
Gribisch, Bastian - 2012
This paper generalizes the basic Wishart multivariate stochastic volatility model of Philipov and Glickman (2006) and … process. The model allows for state-dependent (co)variance and correlation levels and state-dependent volatility spillover …-sample fit and the VaR forecasting performance relative to the basic model. -- Multivariate stochastic volatility ; Dynamic …
Persistent link: https://www.econbiz.de/10009661238
Cover Image
Multivariate stochastic volatility with dynamic cross leverage
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437486
Cover Image
Multivariate Jump Diffusion Model with Markovian Contagion
de Carvalho, Pablo Jose Campos - 2017
Asset prices exhibit characteristics that significantly deviate from log-normality and display time-varying stochastics. There is ample evidence of jumps in one asset price or market leading to jumps in other assets' prices or markets. We propose a multivariate jump diffusion model with...
Persistent link: https://www.econbiz.de/10012951150
Cover Image
Multivariate subordination of Markov processes with financial applications
Mendoza-Arriaga, Rafael; Linetsky, Vadim - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 699-747
Persistent link: https://www.econbiz.de/10011583791
Cover Image
Stochastic multivariate mixture covariance model
So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155
Persistent link: https://www.econbiz.de/10011729126
Cover Image
L1 regularization for high-dimensional multivariate GARCH models
Yao, Sijie; Zou, Hui; Xing, Haipeng - In: Risks : open access journal 12 (2024) 2, pp. 1-29
tuning parameters. In addition, we apply the proposed framework to analyze volatility spillover and portfolio optimization …
Persistent link: https://www.econbiz.de/10014497339
Cover Image
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
Cover Image
Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk - In: Journal of mathematical finance 6 (2016) 1, pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
Cover Image
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012203994
Cover Image
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012196752