Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Year of publication: |
2023
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Authors: | Yamauchi, Yuta ; Omori, Yasuhiro |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 42.2023, 6, p. 513-539
|
Subject: | Dynamic factor | Markov chain Monte Carlo | portfolio performance | realized covariance matrix | stochastic volatility | Volatilität | Volatility | Korrelation | Correlation | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Multivariate Analyse | Multivariate analysis |
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta, (2020)
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta, (2021)
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Yamauchi, Yuta, (2020)
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Yamauchi, Yuta, (2020)
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta, (2020)
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta, (2021)
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