Multi-variate stochastic volatility modelling using Wishart autoregressive processes

DOI10.1111/J.1467-9892.2011.00738.XMaRDI QIDQ2930900zbMATH OpenOpenAlexFDO

Authors Kostas Triantafyllopoulos

Publication date 20 November 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1311.0530

zbMATH Keywords

Bayesian forecastingcovariancefinancial time seriesmulti-variate volatilityWishart process

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Abstract: A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step procedure is adopted. The first step is the conditional inference on the autoregressive parameters and the second step is the unconditional inference, based on a Newton-Raphson iterative algorithm. The proposed methodology, which is mostly Bayesian, is suitable for medium dimensional data and it bridges the gap between closed-form estimation and simulation-based estimation algorithms. An example, consisting of foreign exchange rates data, illustrates the proposed methodology.

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Cited in

(12)

• Multivariate Wishart stochastic volatility and changes in regime
• A new filtering inference procedure for a GED state-space volatility model
• Multivariate stochastic volatility estimation using particle filters
• The Wishart autoregressive process of multivariate stochastic volatility
• On the relationship between uhlig extended and beta-Bartlett processes
• Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
• A fractionally integrated Wishart stochastic volatility model
• Bayesian semiparametric modeling of realized covariance matrices
• A Bayesian non-stationary heteroskedastic time series model for multivariate critical care data
• Multivariate stochastic volatility with co-heteroscedasticity
• The conditional autoregressive Wishart model for multivariate stock market volatility
• Comment on article by Windle and Carvalho

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