Tsunehiro Ishihara, Yasuhiro Omori. Multivariate Stochastic Volatility Model with Cross Leverage. In Yves Lechevallier, Gilbert Saporta, editors, 19th International Conference on Computational Statistics, COMPSTAT 2010, Paris, France, August 22-27, 2010 - Keynote, Invited and Contributed Papers. pages 315-323, Physica-Verlag, 2010. [doi]
Abstract is missing.