Open AccessEstimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study
Author(s) -
Mustafa Hakan Eratalay
Publication year - 2016
Publication title -
international econometric review
Language(s) - English
Resource type - Journals
eISSN - 1308-8807
pISSN - 1308-8793
DOI - 10.33818/ier.278044
Subject(s) - monte carlo method , estimator , econometrics , stochastic volatility , leverage effect , leverage (statistics) , multivariate statistics , volatility (finance) , mathematics , statistics , autoregressive conditional heteroskedasticity
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