Multivariate stochastic volatility
By Siddhartha Chib, Yasuhiro Omori, Manabu Asai. 2009
187 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9db4e085f22d7f04d63ba5704a318fd027948c3d
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Kevin Sheppard
- N. Shephard
- Diaa Noureldin
- Tim Bollerslev
- Zoubin Ghahramani
- José Miguel Hernández-Lobato
- David M. Blei
- Rajesh Ranganath
In Finance
- Kevin Sheppard
- Diaa Noureldin
- N. Shephard
- Tim Bollerslev
- Zoubin Ghahramani
- Andrew J. Patton
- José Miguel Hernández-Lobato
- David M. Blei
Citations in the corpus
- Variational Sequential Monte Carlo (2017, methodology): “Stochastic Volatility A common model in financial econometrics is the (multivariate) stochastic volatility model [Chib et al., 2009].”
- Multivariate High-Frequency-Based Volatility (HEAVY) Models (2012, methodology): “4 Some recent multivariate stochastic volatility models also employ the Wishart distribution to model time-varying correlations; see Chib et al. (2009) and the references cited therein, and also Jin and Maheu (2010).”
- Dynamic Covariance Models for Multivariate Financial Time Series (2013, background): “Another class of models is the family of Stochastic Volatility models (Harvey et al., 1994; Chib et al., 2009; Gouri´eroux et al., 2009; Philipov & Glick-man, 2006).”
- Multivariate GARCH models (2008, unknown): “Comte and Lieberman (2003) study the statistical properties of the BEKK model.”