## Abstract A new multivariate stochastic volatility model is developed in this paper. The main feature of this model is to allow threshold asymmetry in a factor covariance structure. The new model provides a parsimonious characterization of volatility and correlation asymmetry in response to marke
A multivariate threshold stochastic volatility model
β Scribed by Mike K.P. So; C.Y. Choi
- Book ID
- 108200383
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 358 KB
- Volume
- 79
- Category
- Article
- ISSN
- 0378-4754
No coin nor oath required. For personal study only.
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