descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Aug 2016 English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 100, pages 795-813 (issn: 0167-9473,

Authors: Yuta Kurose; Yasuhiro Omori;

doi: 10.1016/j.csda.2015.01.013

Dynamic equicorrelation stochastic volatility

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Abstract

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Keywords

Applications of statistics to actuarial sciences and financial mathematics, multivariate stochastic volatility, Markov chain Monte Carlo, cross leverage effect, multi-move sampler, Bayesian inference, dynamic equicorrelation, Computational methods for problems pertaining to statistics, asymmetry

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