Harvey, Ruiz, Shephard(1994) MV Stochastic Volatil
Posted: Fri Aug 31, 2012 12:21 pmThis provides replication files for Harvey, Ruiz and Shephard(1994), "Multivariate Stochastic Variance Models", Review of Economic Studies, vol 61, no. 2, pp 247-264. This uses state-space approximations for the log squared returns, extending the techniques used in univariate models to a multivariate setting. In their model, the log variances evolve as individual random walks, but with a correlated increment and a correlated measurement error.
univariate.rpf- Univariate models
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- multivariate.rpf
- Multivariate models
- (7.33 KiB) Downloaded 53 times
- xrates.xls
- Data file
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