A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates

DOI10.1080/07474930600712814MaRDI QIDQ5485113zbMATH OpenOpenAlexFDO

Authors Ben Tims, Ronald Mahieu

Publication date 28 August 2006

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930600712814

zbMATH Keywords

exchange ratesmultivariate stochastic volatility modelsrange-based volatility

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• scientific article; zbMATH DE number 5010681
• A multivariate stochastic volatility model with applications in the foreign exchange market
• Multivariate Volatility Models
• Multivariate stochastic variance models
• Multivariate Stochastic Variance Models

Cites work

• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1447423 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Modeling and Forecasting Realized Volatility
• Multivariate Stochastic Variance Models
• The Distribution of Realized Exchange Rate Volatility
• The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
• Time series analysis by state space methods

Cited in

(13)

• Forecasting exchange rate volatility using conditional variance models selected by information criteria
• A multivariate stochastic volatility model with applications in the foreign exchange market
• Risk estimation in exchange rate markets based on stochastic copula approach
• SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
• scientific article; zbMATH DE number 5010681 (Why is no real title available?)
• 缺失数据环境下汇率序列的潜变量Metropolis-Hastings算法及触发式理财产品定价#br#
• Modelling exchange rate volatility
• Identifying exchange rate common factors
• The Distribution of Realized Exchange Rate Volatility
• Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand
• Multivariate Stochastic Volatility: A Review
• XVA in a multi-currency setting with stochastic foreign exchange rates
• A wavelet-based approach for modelling exchange rates

This page was built for publication: A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5485113)