Multivariate stochastic volatility, leverage and news impact surfaces

DOI10.1111/j.1368-423X.2009.00284.xzbMath1231.91483OpenAlexW1992534502MaRDI QIDQ3161679

Michael McAleer, Manabu Asai

Publication date: 15 October 2010

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2009.00284.x

zbMATH Keywords

stochastic volatilityleverage effectdynamic latent variablesnews impact functionnews impact surface

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (11)

Matrix exponential stochastic volatility with cross leverage ⋮ Dynamic equicorrelation stochastic volatility ⋮ A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio ⋮ Realized stochastic volatility with general asymmetry and long memory ⋮ Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance ⋮ Multivariate leverage effects and realized semicovariance GARCH models ⋮ High‐dimensional sparse multivariate stochastic volatility models ⋮ Unnamed Item ⋮ News impact curve for stochastic volatility models ⋮ Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

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