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Portfolio optimization using dynamic factor and stochastic volatility : evidence on fat-tailed errors and leverage
Ishihara, Tsunehiro; Omori, Yasuhiro - In: The Japanese economic review : the journal of the … 68 (2017) 1, pp. 63-94
Persistent link: https://www.econbiz.de/10011959032
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2020
Persistent link: https://www.econbiz.de/10013335000
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2021
Persistent link: https://www.econbiz.de/10013339035
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - In: Econometric reviews 42 (2023) 6, pp. 513-539
Persistent link: https://www.econbiz.de/10014305574