Dynamic correlation multivariate stochastic volatility with latent factors

DOI10.1111/STAN.12115MaRDI QIDQ6089161zbMATH OpenOpenAlexFDO

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)

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Cites work

• scientific article; zbMATH DE number 2063756 (Why is no real title available?)
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• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
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• Factor Multivariate Stochastic Volatility via Wishart Processes
• Fast computation of the deviance information criterion for latent variable models
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
• Inference and modeling with log-concave distributions
• Maximum Likelihood Estimation of the Parameters of the Gamma Distribution and Their Bias
• Particle Markov Chain Monte Carlo Methods
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The Wishart autoregressive process of multivariate stochastic volatility
• The conditional autoregressive Wishart model for multivariate stock market volatility
• The structure of dynamic correlations in multivariate stochastic volatility models
• \(\mathrm{SMC}^2\): an efficient algorithm for sequential analysis of state space models

Cited in

(3)

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

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