Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yuta Yamauchi, Yasuhiro Omori
| Year of publication: |
September 2021
|
|---|---|
| Authors: | Yamauchi, Yuta ; Omori, Yasuhiro |
| Publisher: |
[Tokyo] : [CIRJE, Faculty of Economics, University of Tokyo] |
| Subject: | Dynamic factor | leverage | Markov chain Monte Carlo | portfolio performance | realized covariance matrix | stochastic volatility | stock returns | Volatilität | Volatility | Korrelation | Correlation | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
freely available
| Extent: | 1 Online-Ressource (circa 49 Seiten) Illustrationen |
|---|---|
| Series: | CIRJE discussion papers / F series. - Tokyo : [Verlag nicht ermittelbar], ZDB-ID 2841317-9. |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013339035