Multivariate Stochastic Volatility
Year of publication: |
2006-01
|
---|---|
Authors: | Asai, Manabu ; McAleer, Michael ; Yu, Jun |
Institutions: | East Asian Bureau of Economic Research (EABER) |
Subject: | multivariate stochastic volatility | asymmetry | Leverage | thresholds | factor models | time-varying correlations | transformations | estimation | diagnostic checking | model comparison |
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