Matrix exponential stochastic volatility with cross leverage

DOI10.1016/j.csda.2014.10.012zbMath1466.62109OpenAlexW1979163451MaRDI QIDQ1659124

Manabu Asai, Yasuhiro Omori, Tsunehiro Ishihara

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf904.pdf

zbMATH Keywords

Markov chain Monte Carloleverage effectmatrix exponentialmultivariate stochastic volatilitydynamic correlationmulti-move sampler

Mathematics Subject Classification ID

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

Related Items

Stochastic tail index model for high frequency financial data with Bayesian analysis ⋮ Dynamic equicorrelation stochastic volatility ⋮ Long memory and asymmetry for matrix-exponential dynamic correlation processes ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Comment on article by Windle and Carvalho ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

Uses Software

• FinTS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On leverage in a stochastic volatility model
• Matrix exponential GARCH
• A matrix exponential spatial specification
• The Wishart autoregressive process of multivariate stochastic volatility
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Forecasting multivariate realized stock market volatility
• The conditional autoregressive Wishart model for multivariate stock market volatility
• Block sampler and posterior mode estimation for asymmetric stochastic volatility models
• On Metropolis-Hastings algorithms with delayed rejection
• Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
• Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
• The Matrix-Logarithmic Covariance Model
• Multivariate stochastic volatility, leverage and news impact surfaces
• Multivariate Stochastic Volatility
• Likelihood analysis of non-Gaussian measurement time series
• A simple and efficient simulation smoother for state space time series analysis
• Filtering via Simulation: Auxiliary Particle Filters
• Bayesian Measures of Model Complexity and Fit
• Disturbance smoother for state space models
• The simulation smoother for time series models
• A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
• Multivariate Stochastic Volatility: A Review
• Multivariate Stochastic Volatility Models with Correlated Errors
• Factor Multivariate Stochastic Volatility via Wishart Processes
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
• Asymmetric Multivariate Stochastic Volatility
• Analysis of Financial Time Series