A multivariate threshold stochastic volatility model

DOI10.1016/J.MATCOM.2007.12.003MaRDI QIDQ960327zbMATH OpenOpenAlexDBLPWikidataFDO

Authors B. E. Eshmatov

Publication date 17 December 2008

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL http://europepmc.org/articles/pmc7127604

zbMATH Keywords

financedynamic correlationstochastic volatilitythreshold nonlinearityvolatility asymmetry

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 992989 (Why is no real title available?)
• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
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• Generalized autoregressive conditional heteroscedasticity
• Likelihood analysis of non-Gaussian measurement time series
• Multivariate Stochastic Variance Models
• Multivariate Stochastic Volatility Models with Correlated Errors
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Multivariate Stochastic Volatility: A Review
• Multivariate modelling of the autoregressive random variance process
• On Gibbs sampling for state space models
• On leverage in a stochastic volatility model
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• The structure of dynamic correlations in multivariate stochastic volatility models
• Threshold models in non-linear time series analysis

Cited in

(16)

• Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications
• Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U. S., Germany and Japan
• Contagion determination via copula and volatility threshold models
• Asymmetric Multivariate Stochastic Volatility
• A multivariate threshold varying conditional correlations model
• A general multivariate threshold GARCH model with dynamic conditional correlations
• Tail behavior of a threshold autoregressive stochastic volatility model
• An empirical Bayesian forecast in the threshold stochastic volatility models
• A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
• Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
• A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
• Asymmetry in stochastic volatility models: threshold or correlation?
• A triple-threshold leverage stochastic volatility model
• Modelling financial time series with threshold nonlinearity in returns and trading volume
• Threshold variable selection of asymmetric stochastic volatility models
• Multivariate stochastic volatility, leverage and news impact surfaces

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