Work

Alternatives to Large VAR, Varma and Multivariate Stochastic Volatility Models

Year: 2022

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.4186918

Author: Mike G. Tsionas

Institution: Lancaster University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2592196188

Cites: 60

Cited by: 16

Related to: 10