Multivariate Wishart Stochastic Volatility and Changes in Regime

AStA Advances in Statistical Analysis - Germany
doi 10.1007/s10182-016-0269-9
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Springer Science and Business Media LLC

Related search

Calibration and Advanced Simulation Schemes for the Wishart Stochastic Volatility Model

Quantitative Finance
EconomicsEconometricsFinance
2019English

Regime-Switching Stochastic Volatility and Short-Term Interest Rates

SSRN Electronic Journal
2001English

Option Pricing in Multivariate Stochastic Volatility Models of OU Type

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2012English

Forecasting Value-At-Risk Using Block Structure Multivariate Stochastic Volatility Models

International Review of Economics and Finance
EconomicsFinanceEconometrics
2015English

Stochastic Volatility and Stochastic Leverage

Annals of Finance
EconomicsEconometricsFinance
2010English

Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode

Journal of Applied Mathematics
Applied Mathematics
2013English

Herding and Stochastic Volatility

SSRN Electronic Journal
2015English

Stochastic Volatility of Volatility in Continuous Time

SSRN Electronic Journal
2009English

Nonparametric Stochastic Volatility

Econometric Theory
EconomicsEconometricsSocial Sciences
2018English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy