Multivariate Stochastic Volatility is a statistical modeling framework that extends univariate stochastic volatility models by characterizing the time-varying variances and covariances of multiple financial time series through latent volatility processes governed by a joint stochastic structure.
266
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21.4K
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460
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347
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Publications per year
2017–2026
65
Variants
Msv
Parents
Publications
266
Multivariate Stochastic Variance Models
Andrew Harvey, Esther Ruiz, Neil Shephard · The Review of Economic Studies · 1994 · 1.4K citations · Full text
Multivariate tests of financial models
Michael R. Gibbons · Journal of Financial Economics · 1982 · 626 citations
1–5 of 266
Authors
460
- NS
9
h-index
- FX
8
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- MM
7
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- CG
7
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- MA
6
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1–5 of 460
Institutions
347
National Bureau of Economic Research
Cambridge, United States
9 h-index
15 publications
1.9K citations
University of Pennsylvania
Philadelphia, United States
8 h-index
16 publications
1.8K citations
Chinese University of Hong Kong
Hong Kong, Hong Kong
7 h-index
16 publications
462 citations
University of Toronto
Toronto, Canada
7 h-index
9 publications
1.1K citations
Duke University
Durham, United States
6 h-index
11 publications
948 citations
University of Oxford
Oxford, United Kingdom
6 h-index
7 publications
763 citations
Aarhus University
Aarhus, Denmark
6 h-index
10 publications
501 citations
Swiss Finance Institute
Zurich, Switzerland
6 h-index
7 publications
452 citations
1–8 of 347
Venues
- SSRN Electronic Journal
Repository · 22 publications · 1.6K citations
15
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- Journal of Econometrics
17 publications · 6.4K citations
15
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- Econometric Reviews
14 publications · 730 citations
12
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- Physica A Statistical Mechanics and its Applications
11 publications · 472 citations
11
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- Journal of Business and Economic Statistics
JBES · 10 publications · 642 citations
10
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1–5