Asymmetric Multivariate Stochastic Volatility
Author:
Affiliation:
1. a Faculty of Economics , Soka University , Tokyo , Japan
2. b School of Economics and Commerce, University of Western Australia , Perth , Western Australia , Australia
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/07474930600712913
Reference32 articles.
1. Dynamic Asymmetric Leverage in Stochastic Volatility Models
2. Kurtosis of GARCH and stochastic volatility models with non-normal innovations
3. A Capital Asset Pricing Model with Time-Varying Covariances
4. Alternative models for stock price dynamics
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