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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
IMACS. Published by Elsevier Ltd.
2008
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| Materias: | |
| 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 |