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ArticleMatrix exponential stochastic volatility with cross leverage

Tsunehiro Ishihara2014

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Articlegreen2014

Matrix exponential stochastic volatility with cross leverage

Tsunehiro Ishihara · Yasuhiro Omori · Manabu Asai

25 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Markov Chains and Monte Carlo Methods

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References

2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1993Measuring and Testing the Impact of News on Volatility n.d.Multivariate GARCH models: a survey 1998Modeling Asymmetric Comovements of Asset Returns 2006Stochastic volatility with leverage: Fast and efficient likelihood inference 2004On leverage in a stochastic volatility model 2006Multivariate Stochastic Volatility: A Review

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2021Volatility and dynamic dependence modeling: Review, applications, and financial risk management 2014Bayesian analysis of multivariate stochastic volatility with skew return distribution

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Year2014

Typearticle

Published2014-10-27

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2014.10.012

openalex_workW1597538422

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