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Multivariate Stochastic Volatility · Study

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ChapterMultivariate Stochastic Volatility

Siddhartha Chib2009

Chapter2009

Multivariate Stochastic Volatility

Siddhartha Chib · Yasuhiro Omori · Manabu Asai

150 citations·0/0 files stored·Springer eBooks

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 150 citations exist upstream.

References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1985A Theory of the Term Structure of Interest Rates 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 2003Modeling and Forecasting Realized Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1988A Capital Asset Pricing Model with Time-Varying Covariances 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited by

2006Continuous Time Wishart Process for Stochastic Risk 2008Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer.2009Stochastic Volatility: Origins and Overview 2009The structure of dynamic correlations in multivariate stochastic volatility models 2013Financial Risk Measurement for Financial Risk Management 2006Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models 2008Multivariate GARCH Models 2023Bayesian forecasting in economics and finance: A modern review

Details

Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations150

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1007/978-3-540-71297-8_16

openalex_workW1812949503

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