Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models

Journal of Empirical Finance

Volumn 5, Issue 2, 1998, Pages 155-173

  Daníelsson, Jón ^a  

^a CSIC   (Spain)

Author keywords

Monte Carlo estimation; Multivariate ARCH; Multivariate stochastic volatility; Simulated maximum likelihood

Indexed keywords

EID: 0005868459     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(97)00016-9     Document Type: Article

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