Abstract
The Bayesian estimation method using Markov chain Monte Carlo is proposed for a multivariate stochastic volatility model that is a natural extension of the univariate stochastic volatility model with leverage, where we further incorporate cross leverage effects among stock returns. © Springer-Verlag Berlin Heidelberg 2010.
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APA
Ishihara, T., & Omori, Y. (2010). Multivariate stochastic volatility model with cross leverage. In Proceedings of COMPSTAT 2010 - 19th International Conference on Computational Statistics, Keynote, Invited and Contributed Papers (pp. 315–323). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-7908-2604-3_29
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