The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years …

The Wishart autoregressive (WAR) process is a powerful tool to model multivariate stochastic volatility (MSV) with …

This paper proposes and analyses two types of asymmetric multivariate stochastic volatility (SV) models, namely: (i) SV …

large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic … volatility models. The empirical analysis on stock returns on US market shows that 1% and 5 % Value-at-Risk thresholds based on …

stochastic volatility model as a natural extension of the univariate stochastic volatility model with leverage and heavy …An efficient Bayesian estimation using a Markov chain Monte Carlo method is proposed in the case of a multivariate …

In this paper we show that fully likelihood-based estimation and comparison of multivariate stochastic volatility (SV …

-low ranges of daily exchange rates. The multivariate stochastic volatility model divides the log range of each exchange rate into …

-low ranges of daily exchange rates. The multivariate stochastic volatility model divides the log range of each exchange rate into …

large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic … volatility models. …

stochastic volatility (SV) model to a set of emerging stock markets. To estimate the SV model, we use a Bayesian Markov chain …This study suggests an alternative method to estimate time-varying country risk. We first apply a new multivariate …