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Multivariate Stochastic Volatility with Co-Heteroscedasticity

Multivariate Stochastic Volatility with Co-Heteroscedasticity
デジタル文書・図像類
CHAN, Joshua, DOUCET, Arnaud, Leon-Gonzalez, Roberto, STRACHAN, Rodney W.GRIPS Policy Research Center2020-09-04GRIPS Discussion Papers20-09
全国の図書館
  • 要約等...perty known as co-heteroscedasticity. The heterosce......ating testable co-heteroscedasticity restrictions, ......g evidence for co-heteroscedasticity and that the new method compa...
  • 件名...article Filter Co-heteroscedasticity state-space reparameterizatio...

Multivariate Stochastic Volatility with Co-Heteroscedasticity

Multivariate Stochastic Volatility with Co-Heteroscedasticity
デジタル文書・図像類
CHAN, Joshua, DOUCET, Arnaud, LEON-GONZALEZ, Roberto, STRACHAN, Rodney W.GRIPS Policy Research Center2018-10-11GRIPS Discussion PapersDP18-12
全国の図書館
  • 要約等...operty we call co-heteroscedasticity. The heterosce......g evidence for co-heteroscedasticity and, in the second applicatio...
  • 件名...article Filter Co-heteroscedasticity state-space reparameterizatio...

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