A multivariate threshold stochastic volatility model

DOI10.1016/J.MATCOM.2007.12.003zbMATH Open1151.91540DBLPjournals/mcs/SoC08OpenAlexW1988861049WikidataQ91906239 ScholiaQ91906239MaRDI QIDQ960327FDOQ960327

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)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• On leverage in a stochastic volatility model
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• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• On Gibbs sampling for state space models
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• Title not available (Why is that?)
• Analysis of high dimensional multivariate stochastic volatility models
• Multivariate Stochastic Variance Models
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• Dynamic Asymmetric Leverage in Stochastic Volatility Models
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Asymmetric Multivariate Stochastic Volatility
• Multivariate Stochastic Volatility: A Review
• Threshold models in non-linear time series analysis
• The structure of dynamic correlations in multivariate stochastic volatility models
• Multivariate modelling of the autoregressive random variance process
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Multivariate Stochastic Volatility Models with Correlated Errors
• Title not available (Why is that?)
• A Multivariate Threshold Varying Conditional Correlations Model

Cited In (6)

• Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U. S., Germany and Japan
• Tail behavior of a threshold autoregressive stochastic volatility model
• A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
• A triple-threshold leverage stochastic volatility model
• Modelling financial time series with threshold nonlinearity in returns and trading volume
• Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications

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