A comparative study of two models SV with MCMC algorithm
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Volume (Year): 38 (2012)
Issue (Month): 4 (May)
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References listed on IDEAS
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- Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 145-175.
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"Asymmetric Multivariate Stochastic Volatility,"
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12, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Esfandiar Maasoumi & Michael McAleer, 2006. "Multivariate Stochastic Volatility: An Overview," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 139-144.
- Thomas J. O'Brien & Walter Dolde, 2000. "A currency index global capital asset pricing model," European Financial Management, European Financial Management Association, vol. 6(1), pages 7-18.
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