多変量因子確率的ボラティリティ変動モデル
Published in Institutional Repository, Hitotsubashi University (Hitotsubashi University) • Oct 25, 2007
NobleIDNI1P100W076R448S023
Authors:,
裕浩 大森
Yasuhiro Omori
Abstract
This paper considers a Bayesian analysis of a multivariate factor asymmetric stochastic volatility model, and proposes an efficient Markov chain Monte Carlo (MCMC) method. The basic multivariate stochastic volatility has been recently extended to consider common factors among asset returns. However,...
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