A multivariate threshold stochastic volatility model

We introduce in this paper a multivariate threshold stochastic volatility model for multiple financial return time series. This model allows the dynamic structure of return and volatility to change according to a threshold model while accounting for the interdependence of financial returns. Through...

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Detalles Bibliográficos
Autores principales: So, Mike K.P., Choi, C.Y.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: IMACS. Published by Elsevier Ltd. 2008
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7127604/
https://www.ncbi.nlm.nih.gov/pubmed/32288115
http://dx.doi.org/10.1016/j.matcom.2007.12.003

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7127604/
https://www.ncbi.nlm.nih.gov/pubmed/32288115
http://dx.doi.org/10.1016/j.matcom.2007.12.003

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