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ArticleA multivariate long memory stochastic volatility model

Mike K. P. So2005

Article2005

A multivariate long memory stochastic volatility model

Mike K. P. So · Susanna Wing Yan Kwok

24 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1993A long memory property of stock market returns and a new model 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 2007Modelling Financial Time Series 1994Multivariate Stochastic Variance Models 1996Modeling and pricing long memory in stock market volatility 19965 Stochastic volatility 1996Statistical aspects of ARCH and stochastic volatility 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

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Year2005

Typearticle

Published2005-10-20

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2005.08.078

openalex_workW2086865744

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