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2007 Oct 23
1
multivariate Stochastic Volatility and GARCH
Dear everyone, i`m a german economics student, writing my masterĀ“s thesis about "Multivariate Volatility Models". After having read about theoretical aspects of Multivariate GARCH ans Stochastic Volatility Models, I would like to compare DCC-GARCH and DC-SV with help of an empirical application. I figuered out that one has to use MCMC-simulation-methods for that. Some days ago I