Work

A multivariate long memory stochastic volatility model

Year: 2005

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2005.08.078

Authors: Mike K.P. So, Susanna W.Y. Kwok

Institution: Hong Kong University of Science and Technology

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2086865744

FWCI: 2.277

Cites: 33

Cited by: 24

Related to: 10