Dynamic Correlations in Symmetric Multivariate SV Models

Abstract

This paper proposes two types of stochastic correlation structures for Multivariate Stochastic Volatility (MSV) models, namely the constant correlation (CC) MSV and dynamic correlation (DC) MSV models, from which the stochastic covariance structures could be obtained easily. Both structures can be used for purposes of optimal portfolio and risk management… (More)

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Cite this paper

@inproceedings{Asai2005DynamicCI, title={Dynamic Correlations in Symmetric Multivariate SV Models}, author={Manabu Asai and Michael McAleer}, year={2005} }