Multivariate Stochastic Volatility Model with Cross Leverage

DOI10.1007/978-3-7908-2604-3_29zbMath1436.62496OpenAlexW2926369060MaRDI QIDQ3298481

Tsunehiro Ishihara, Yasuhiro Omori

Publication date: 14 July 2020

Published in: Proceedings of COMPSTAT'2010 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2604-3_29

zbMATH Keywords

asymmetryBayesian analysisMarkov chain Monte Carlostock returnsleverage effectmultivariate stochastic volatilitymulti-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) Bayesian inference (62F15)

Cites Work

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• Likelihood analysis of non-Gaussian measurement time series
• A simple and efficient simulation smoother for state space time series analysis
• Disturbance smoother for state space models
• The simulation smoother for time series models
• Multivariate Stochastic Volatility Models with Correlated Errors
• Asymmetric Multivariate Stochastic Volatility

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