The structure of dynamic correlations in multivariate stochastic volatility models

Journal of Econometrics

Volumn 150, Issue 2, 2009, Pages 182-192

  Asai, Manabu ^a   McAleer, Michael ^b  

^a SOKA UNIVERSITY   (Japan)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Constant correlations; Dynamic correlations; Markov chain Monte Carlo; Multivariate conditional volatility; Multivariate stochastic volatility

Indexed keywords

CONSTANT CORRELATIONS; DYNAMIC CORRELATIONS; MARKOV CHAIN MONTE CARLO; MULTIVARIATE CONDITIONAL VOLATILITY; MULTIVARIATE STOCHASTIC VOLATILITY;

CORRELATION METHODS; COVARIANCE MATRIX; MARKOV PROCESSES; MICROWAVE ANTENNAS; MONTE CARLO METHODS; RISK ANALYSIS; RISK MANAGEMENT; RISK PERCEPTION; STOCHASTIC MODELS; UNCERTAIN SYSTEMS; VALUE ENGINEERING;

DYNAMIC MODELS;

EID: 67349134221     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.12.012     Document Type: Article

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