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Efficient Bayesian estimation of multivariate stochastic volatility models with leverage effects

Efficient Bayesian estimation of multivariate stochastic volatility models with leverage effects
Paper博士論文
Tsunehiro Ishihara [著][Tsunehiro Ishihara][2011]<UT51-2011-N109>
National Diet Library

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2013-09Discussion paper series. CIRJE-FCIRJE-F-904
Other Libraries in Japan
  • Author HeadingIshihara, Tsunehiro Omori, Yasuhiro Asai, Manabu

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2011-08Discussion paper series. CIRJE-FCIRJE-F-812
Other Libraries in Japan
  • Author HeadingIshihara, Tsunehiro Omori, Yasuhiro Asai, Manabu

Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors

Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro日本経済国際共同センター2010-05Discussion paper series. CIRJE-FCIRJE-F-746
Other Libraries in Japan
  • Author HeadingIshihara, Tsunehiro Omori, Yasuhiro

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