keyword Multivariate Factor Stochastic Volatility / (1 Article)
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1.
Modeling the Daily Volatility of Oil, Gold, Dollar, Bitcoin and Iranian Stock Markets: An Empirical Application of a Nonlinear Space State Model
Journal ArticleWriter : Taleblou، Reza ؛ Corresponding Author : Mohajeri، Parisa ؛
Journal:Iranian Economic Reveiw»Autumn 2023 , Volume 27 - Number 3 Ranking: Science-Research/ISC (31 page(s) - From 1033 to 1063 )
Keywords:Bayesian approachDynamic CorrelationBitcoinConventional AssetsMultivariate Factor Stochastic VolatilityNonlinear Space State Model