Multivariate Stochastic Volatility: A Review-Reference-Cited by-同舟云学术

Multivariate Stochastic Volatility: A Review

Published:2006-09 Issue:2-3 Volume:25 Page:145-175
ISSN:0747-4938
Container-title:Econometric Reviews
language:en
Short-container-title:Econometric Reviews

Author:

Asai Manabu¹,McAleer Michael²,Yu Jun³

Affiliation:

1. a Faculty of Economics , Soka University , Tokyo , Japan

2. b School of Economics and Commerce, University of Western Australia , Perth , Australia

3. c School of Economics and Social Sciences, Singapore Management University , Singapore

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/07474930600713564

Reference80 articles.

1. Bayesian Dynamic Factor Models and Portfolio Allocation

2. Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study

3. Asai , M. McAleer , M. ( 2004 ). Dynamic correlations in stochastic volatility models . Unpublished paper, Faculty of Economics, Tokyo Metropolitan University .

4. Dynamic Asymmetric Leverage in Stochastic Volatility Models

5. Asymmetric Multivariate Stochastic Volatility

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