Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations
Yuta Yamauchi, Yasuhiro Omori
| Year of publication: |
2020
|
|---|---|
| Authors: | Yamauchi, Yuta ; Omori, Yasuhiro |
| Subject: | Markov chain Monte Carlo | Multivariate asset returns | Realized covariances | Realized volatility | Stochastic volatility | Volatilität | Volatility | Kapitaleinkommen | Capital income | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Korrelation | Correlation | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2019.1602048 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012313374