مرکز منطقه ای اطلاع رساني علوم و فناوري - Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models

Title of article :

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

Author/Authors :

J?n Dan?elsson، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 1998

Pages :

From page :

155

To page :

173

Keywords :

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

Journal title :

Journal of Empirical Finance

Serial Year :

1998

Journal title :

Journal of Empirical Finance

Record number :

130624

Link To Document :