Dynamic correlation multivariate stochastic volatility with latent factors

DOI10.1111/STAN.12115OpenAlexW2744431467MaRDI QIDQ6089161FDOQ6089161

Authors: Sheng-Jhih Wu, Sujit K. Ghosh, Yu-Cheng Ku, Peter Bloomfield 

Publication date: 14 December 2023

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/stan.12115

zbMATH Keywords

log-concavityWishart processesmultivariate stochastic volatilitycorrelation breakdowninterval forecast efficiency

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Parametric inference (62Fxx) Probabilistic methods, stochastic differential equations (65Cxx)

Cites Work

• Bayesian Measures of Model Complexity and Fit
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• Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
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• Title not available (Why is that?)
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• The structure of dynamic correlations in multivariate stochastic volatility models
• The conditional autoregressive Wishart model for multivariate stock market volatility
• Common volatility and correlation clustering in asset returns
• Maximum Likelihood Estimation of the Parameters of the Gamma Distribution and Their Bias
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
• Fast computation of the deviance information criterion for latent variable models
• Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions

Cited In (3)

• A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
• Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
• Multivariate asset price dynamics with stochastic covariation

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