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

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