Washington University in St. Louis
University of Tokyo
Soka University
抄録
The success of univariate stochastic volatility (SV) models in relation to univariate GARCH models has spurred an enormous interest in generalizations of SV models to a multivariate setting. A large number of multivariate SV (MSV) models are now available along with clearly articulated estimation recipes. Our goal in this paper is to provide the first detailed summary of the various model formulations, along with connections and differences, and discuss how the models are estimated. We aim to show that the developments and achievements in this area represent one of the great success stories of financial econometrics.
内容記述
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-488
発行年
2007-04
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
330
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
Multivariate stochastic volatility
