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- Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
References listed on IDEAS
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More about this item
Keywords
Multivariate stochastic volatility; asymmetric leverage; dynamic leverage; size effect; numerical likelihood; Bayesian Markov chain Monte Carlo; importance sampling.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-04-08 (Econometrics)
- NEP-ETS-2006-04-08 (Econometric Time Series)
- NEP-ICT-2006-04-08 (Information and Communication Technologies)
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