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The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation, and evaluation of MSV models. A wide range of MSV models is presented according to various...
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) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and … derivatives, and hence does not permit (quasi-) maximum likelihood estimation. It is shown in this paper for the non-leverage case …
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) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and …
Persistent link: https://www.econbiz.de/10010362978
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …
Persistent link: https://www.econbiz.de/10010384390
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …
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