The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Multivariate Stochastic Variance Models
Open accessAbstract
Changes in variance, or volatility, over time can be modelled using the approach based on autoregressive conditional heteroscedasticity (ARCH). However, the generalizations to multivariate series can be difficult to estimate and interpret. Another approach is to model variance as an unobserved stochastic process. Although it is not easy to obtain the exact likelihood function for such stochastic variance models, they tie in closely with developments in finance theory and have certain statistical attractions. This article sets up a multivariate model, discusses its statistical treatment and shows how it can be modified to capture common movements in volatility in a very natural way. The model is then fitted to daily observations on exchange rates.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Handbook of Mathematical Functions
McQuarrie, D. A. (1966) · American Journal of Physics · doi:10.1119/1.1972842 · Cited by 40,433
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Cited by
Forecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
ANDERSEN, T. G. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05206.x · Cited by 1,020
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
Steinbach, M. C. (2001) · SIAM Review · doi:10.1137/s0036144500376650 · Cited by 382
Hasanov, A. S., Burkhanov, A. U., Usmonov, B., Khajimuratov, N. S., & Khurramova, M. M. Q. (2024) · Energy · doi:10.1016/j.energy.2024.130535 · Cited by 43
Metadata
- Authors
- Harvey, A., Ruiz, E., & Shephard, N.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1994-04-01
- Volume
- 61
- Issue
- 2
- Pages
- 247-264
- ISSN
- 0034-6527 (ISSN-L)
- 1467-937X
- OpenAlex
- W2153155589
- Cited by
- 1,364
- References
- 3
- FWCI
- 59.79
- Type
- journal article
- Language
- en
- Open access
- green
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Multivariate Stochastic Variance Models. https://app.cochat.ai/papers/10.2307/2297980
- The paper
- Harvey, A., Ruiz, E., & Shephard, N. (1994). Multivariate Stochastic Variance Models. The Review of Economic Studies. https://doi.org/10.2307/2297980
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
