Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity
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DOI: 10.1016/j.ecosta.2018.03.003
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- Yuta Kurose, 2021. "Stochastic volatility model with range-based correction and leverage," Papers 2110.00039, arXiv.org, revised Oct 2021.
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Keywords
Asymmetry; Leverage effect; Markov chain Monte Carlo; Multiple-block equicorrelation; Multivariate stochastic volatility; Realized correlation; Realized volatility;All these keywords.
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