Matrix exponential stochastic volatility with cross leverage

DOI10.1016/J.CSDA.2014.10.012MaRDI QIDQ1659124zbMATH OpenOpenAlexFDO

Authors Tsunehiro Ishihara, Yasuhiro Omori, Manabu Asai

Publication date 15 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf904.pdf

zbMATH Keywords

Markov chain Monte Carlodynamic correlationleverage effectmatrix exponentialmultivariate stochastic volatilitymulti-move sampler

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(11)

• Comment on article by Windle and Carvalho
• Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
• scientific article; zbMATH DE number 7387627 (Why is no real title available?)
• Matrix exponential GARCH
• scientific article; zbMATH DE number 7660124 (Why is no real title available?)
• scientific article; zbMATH DE number 7387555 (Why is no real title available?)
• Dynamic equicorrelation stochastic volatility
• Long memory and asymmetry for matrix-exponential dynamic correlation processes
• Stochastic tail index model for high frequency financial data with Bayesian analysis
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
• Multivariate stochastic volatility model with cross leverage

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Uses Software

• FinTS

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