๐”– Bobbio Scriptorium
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Multivariate Stochastic Volatility: A Review

โœ Scribed by Asai, Manabu; McAleer, Michael; Yu, Jun


Book ID
120057334
Publisher
Taylor and Francis Group
Year
2006
Tongue
English
Weight
217 KB
Volume
25
Category
Article
ISSN
0747-4938

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## 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