Rights statement: This is the peer reviewed version of the following article: Izzeldin, M. , Tsionas, M. G. and Michaelides, P. G. (2019), Multivariate stochastic volatility with large and moderate shocks. J. R. Stat. Soc. A. doi:10.1111/rssa.12443 which has been published in final form at https://rss.onlinelibrary.wiley.com/doi/full/10.1111/rssa.12443 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
Accepted author manuscript, 1.73 MB, PDF document
Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License
Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
<mark>Journal publication date</mark> | 23/03/2019 |
---|---|
<mark>Journal</mark> | Journal of the Royal Statistical Society: Series A Statistics in Society |
Publication Status | E-pub ahead of print |
Early online date | 23/03/19 |
<mark>Original language</mark> | English |