Matrix exponential stochastic volatility with cross leverage
Year: 2014
Type: article
Institutions: Hitotsubashi University, The University of Tokyo, Soka University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Awards: Bayesian econometric analysis of financial risk and economic behavior, Financial Engineering to ERM: Theoretical and Empirical Investigation, Bayesian econometric analysis of high-dimensional data, A study on the volatility dynamics and trading system structural changes using high frequency data., Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior
OpenAlex ID: W1597538422