Multivariate stochastic volatility model with cross leverage

DOI10.1007/978-3-7908-2604-3_29zbMATH Open1436.62496OpenAlexW2926369060MaRDI QIDQ3298481FDOQ3298481

Authors: Tsunehiro Ishihara, Yasuhiro Omori 

Publication date: 14 July 2020

Published in: Proceedings of COMPSTAT'2010 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2604-3_29

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zbMATH Keywords

asymmetryMarkov chain Monte CarloBayesian analysisleverage effectstock returnsmultivariate stochastic volatilitymulti-move sampler

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
• Likelihood analysis of non-Gaussian measurement time series
• A simple and efficient simulation smoother for state space time series analysis
• The simulation smoother for time series models
• Analysis of high dimensional multivariate stochastic volatility models
• Title not available (Why is that?)
• Factor stochastic volatility with time varying loadings and Markov switching regimes
• Asymmetric Multivariate Stochastic Volatility
• Multivariate Stochastic Volatility
• Block sampler and posterior mode estimation for asymmetric stochastic volatility models
• Disturbance smoother for state space models
• Multivariate Stochastic Volatility Models with Correlated Errors
• Estimating stochastic volatility models using daily returns and realized volatility simultaneously

Cited In (5)

• Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
• Bayesian Inference for Nonlinear and Non-Gaussian Stochastic Volatility Model with Leverage Effect
• Dynamic equicorrelation stochastic volatility
• Matrix exponential stochastic volatility with cross leverage
• Multilevel models with stochastic volatility for repeated cross-sections: an application to tribal art prices

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