This paper generalizes the basic Wishart multivariate stochastic volatility model of Philipov and Glickman (2006) and … process. The model allows for state-dependent (co)variance and correlation levels and state-dependent volatility spillover …-sample fit and the VaR forecasting performance relative to the basic model. -- Multivariate stochastic volatility ; Dynamic …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …