Multivariate stochastic volatility models based on generalized Fisher transformation
Han Chen, Yijie Fei, Jun Yu
| Year of publication: |
July 2023
|
|---|---|
| Authors: | Chen, Han ; Fei, Yijie ; Yu, Jun |
| Publisher: |
Singapore : Singapore Management University |
| Subject: | Multivariate stochastic volatility | Dynamic correlation | Leverage effect | Particle filter | Markov chain Monte Carlo | Volatilität | Volatility | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Multivariate Analyse | Multivariate analysis | Korrelation | Correlation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | ARCH-Modell | ARCH model |
freely available
| Extent: | 1 Online-Ressource (circa 50 Seiten) Illustrationen |
|---|---|
| Series: | Working paper. - [Singapore] : School of Economics, ZDB-ID 3110021-1. - Vol. paper no. 2023, 09 |
| 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/10014329798