Multivariate stochastic volatility via Wishart processes

Journal of Business and Economic Statistics

Volumn 24, Issue 3, 2006, Pages 313-328

  Philipov, Alexander ^a   Glickman, Mark E ^b  

^a AMERICAN UNIVERSITY   (United States)

^b BOSTON UNIVERSITY   (United States)

Author keywords

Bayesian time series; Financial data; Stochastic covariance; Time varying correlation

Indexed keywords

EID: 33746351341     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500105000000306     Document Type: Review

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