Multivariate stochastic variance models
Publication information:
Harvey, Andrew, Esther Ruiz, and Neil Shephard. 1994. “Multivariate Stochastic Variance Models”. Review of Economic Studies 61: 247-64.
Notes
Reprinted in "ARCH: Selected Readings," (editor Robert F. Engle), 1995, 256-276, Oxford University Press.Reprinted in "Recent Developments in Time Series," (editors Stephen Leybourne and Paul Newbold), Edward Elgar Publishers, 2003, 135-152.Reprinted in "Stochastic Volatility: Selected Readings," (editor Neil Shephard), Oxford University Press, 156-176, 2005.