Multivariate Stochastic Volatility Via Wishart Random Processes

SSRN Electronic Journal ◽

10.2139/ssrn.635123 ◽

2004 ◽

Cited By ~ 2

Author(s):

Alexander Philipov ◽

Mark E. Glickman

Keyword(s):

Stochastic Volatility ◽

Random Processes ◽

Multivariate Stochastic Volatility

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Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2010.07.015 ◽

2012 ◽

Vol 56 (11) ◽

pp. 3674-3689 ◽

Cited By ~ 16

Author(s):

Tsunehiro Ishihara ◽

Yasuhiro Omori

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model ◽

Multivariate Stochastic Volatility ◽

Heavy Tailed

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Analysis of Linear Factor Models with Multivariate Stochastic Volatility for Stock and Bond Returns

SSRN Electronic Journal ◽

10.2139/ssrn.423980 ◽

2003 ◽

Author(s):

Federico Nardari ◽

John T. Scruggs

Keyword(s):

Stochastic Volatility ◽

Factor Models ◽

Linear Factor ◽

Bond Returns ◽

Multivariate Stochastic Volatility

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Credit Risk Pricing with Multivariate Stochastic Volatility

2009 International Joint Conference on Computational Sciences and Optimization ◽

10.1109/cso.2009.50 ◽

2009 ◽

Author(s):

Jun Du ◽

Yang Liu

Keyword(s):

Credit Risk ◽

Stochastic Volatility ◽

Multivariate Stochastic Volatility ◽

Risk Pricing ◽

Credit Risk Pricing

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Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models

Journal of Mathematical Finance ◽

10.4236/jmf.2012.21010 ◽

2012 ◽

Vol 02 (01) ◽

pp. 83-89 ◽

Cited By ~ 1

Author(s):

Yong Li ◽

Fang-Ping Peng ◽

Hao-Feng Xu

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Persistence ◽

Bayesian Testing ◽

Volatility Models ◽

Asset Volatility ◽

Multivariate Stochastic Volatility

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Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models

Econometric Reviews ◽

10.1080/07474930600712848 ◽

2006 ◽

Vol 25 (2-3) ◽

pp. 385-408 ◽

Cited By ~ 14

Author(s):

Borus Jungbacker ◽

Siem Jan Koopman

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models

Econometric Reviews ◽

10.1080/07474930600713424 ◽

2006 ◽

Vol 25 (2-3) ◽

pp. 335-360 ◽

Cited By ~ 50

Author(s):

Roman Liesenfeld ◽

Jean-François Richard

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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Option Pricing in Multivariate Stochastic Volatility Models of OU Type

SIAM Journal on Financial Mathematics ◽

10.1137/100803687 ◽

2012 ◽

Vol 3 (1) ◽

pp. 66-94 ◽

Cited By ~ 38

Author(s):

Johannes Muhle-Karbe ◽

Oliver Pfaffel ◽

Robert Stelzer

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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Multivariate Stochastic Volatility via Wishart Processes: A Comment

Journal of Business and Economic Statistics ◽

10.1080/07350015.2012.634358 ◽

2012 ◽

Vol 30 (1) ◽

pp. 164-164 ◽

Cited By ~ 3

Author(s):

Wolfgang Rinnergschwentner ◽

Gottfried Tappeiner ◽

Janette Walde

Keyword(s):

Stochastic Volatility ◽

Wishart Processes ◽

Multivariate Stochastic Volatility

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A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates

Econometric Reviews ◽

10.1080/07474930600712814 ◽

2006 ◽

Vol 25 (2-3) ◽

pp. 409-424 ◽

Cited By ~ 8

Author(s):

Ben Tims ◽

Ronald Mahieu

Keyword(s):

Exchange Rates ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model ◽

Multivariate Stochastic Volatility

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Estimating High Dimensional Multivariate Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.3524618 ◽

2020 ◽

Author(s):

Matteo M. Pelagatti ◽

Giacomo Sbrana

Keyword(s):

Stochastic Volatility ◽

High Dimensional ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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