Multivariate Stochastic Volatility Models with Correlated Errors

DOI10.1080/07474930600713309zbMath1113.62127OpenAlexW3122870494MaRDI QIDQ5485105

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Publication date: 28 August 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930600713309

zbMATH Keywords

Markov chain Monte CarloBayesian estimationleveragecorrelation matrixmodel averaging

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (11)

Skew selection for factor stochastic volatility models ⋮ Multivariate stochastic volatility, leverage and news impact surfaces ⋮ Matrix exponential stochastic volatility with cross leverage ⋮ Dynamic equicorrelation stochastic volatility ⋮ Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors ⋮ Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance ⋮ Multivariate Stochastic Volatility Model with Cross Leverage ⋮ A multivariate threshold stochastic volatility model ⋮ Multivariate Stochastic Volatility: A Review ⋮ Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison ⋮ Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model

Cites Work

• On leverage in a stochastic volatility model
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Markov chain Monte Carlo methods for stochastic volatility models.
• BUGS for a Bayesian analysis of stochastic volatility models
• Efficient estimation of covariance selection models
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Multivariate Stochastic Variance Models
• Likelihood analysis of non-Gaussian measurement time series
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Asymmetric Multivariate Stochastic Volatility
• Dynamic Asymmetric Leverage in Stochastic Volatility Models
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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