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Stochastic Multivariate Mixture Covariance Model

Author

Listed:
  • Mike K. P. So
  • Raymond W. M. Li
  • Manabu Asai
  • Yue Jiang

Abstract

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Suggested Citation

  • Mike K. P. So & Raymond W. M. Li & Manabu Asai & Yue Jiang, 2017. "Stochastic Multivariate Mixture Covariance Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(2), pages 139-155, March.
    • Handle: RePEc:wly:jforec:v:36:y:2017:i:2:p:139-155
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    Cited by:

    1. Yuta Yamauchi & Yasuhiro Omori, 2018. "Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations," Papers 1809.09928, arXiv.org, revised Mar 2019.

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