Ju l 2 00 6 Bayesian Analysis of the Conditional Correlation Between Stock Index Returns with Multivariate SV Models ∗

In the paper we compare the modelling ability of discrete-time multivariate Stochastic Volatility models to describe the conditional correlations between stock index returns. We consider four trivariate SV models, which differ in the structure of the conditional covariance matrix. Specifications with zero, constant and time-varying conditional correlations… CONTINUE READING