Multivariate Stochastic Volatility with Dynamic Cross Leverage
Year of publication: |
2014-08
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Authors: | Trojan, Sebastian |
Institutions: | School of Economics and Political Science, Universität St. Gallen |
Subject: | Multivariate stochastic volatility | dynamic correlation | cross leverage | Cholesky decomposition | nonlinear state space model | Markov chain Monte Carlo | block sampler | particle filter |
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Multivariate stochastic volatility with dynamic cross leverage
Trojan, Sebastian, (2014)
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Trojan, Sebastian, (2014)
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Trojan, Sebastian, (2013)
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Trojan, Sebastian, (2014)
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Trojan, Sebastian, (2013)
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Trojan, Sebastian, (2013)
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