Work

Multivariate Stochastic Volatility with Co-Heteroscedasticity

Year: 2024

Type: article

Source: Studies in Nonlinear Dynamics and Econometrics

DOI: 10.1515/snde-2023-0056

Authors: Joshua Chan, Arnaud Doucet, Roberto León-González, Rodney W. Strachan

Institutions: Purdue University West Lafayette, University of Oxford, National Graduate Institute for Policy Studies, The University of Queensland

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Japan Society for the Promotion of Science, Policy Research Center, National Graduate Institute for Policy Studies

Award: Co-Heteroscedasticity Models: Empirical Assessment and Computational Methods

OpenAlex ID: W4402136357

FWCI: 1.08

Cites: 53

Cited by: 3

Related to: 10