Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations
Yuta Yamauchi, Yasuhiro Omori
| Year of publication: |
2020
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|---|---|
| Authors: | Yamauchi, Yuta ; Omori, Yasuhiro |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 38.2020, 4, p. 839-855
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| 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://www.econbiz.de/10012313374