Multivariate stochastic volatility, leverage and news impact surfaces
Article first published online: 21 JUL 2009
© 2009 The Author(s). Journal compilation © Royal Economic Society 2009
The Econometrics Journal
Volume 12, Issue 2, pages 292–309, July 2009
How to Cite
Asai, M. and McAleer, M. (2009), Multivariate stochastic volatility, leverage and news impact surfaces. The Econometrics Journal, 12: 292–309. doi: 10.1111/j.1368-423X.2009.00284.x
- Issue published online: 21 JUL 2009
- Article first published online: 21 JUL 2009
- First version received: August 2007; final version accepted: January 2009
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