RATS programs to estimate multivariate stochastic volatility models
AbstractReplication file for Harvey, Ruiz and Shepherd(1994), "Multivariate Stochastic Variance Models", Review of Economic Studies, vol 61, no. 2, pp 247-264. Includes programs for univariate and multivariate models.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00093.
Programming language: RATS
Requires: RATS 8.00
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
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