Work

Time-Varying Covariances: A Factor Stochastic Volatility Approach

Year: 1999

Type: book-chapter

DOI: 10.1093/oso/9780198504856.003.0024

Authors: Michael K Pitt, Neil Shephard

Institution: Imperial College London

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4388319747

FWCI: 11.49

Cites:

Cited by: 98

Related to: 10