A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates

DOI10.1080/07474930600712814zbMath1113.62132OpenAlexW2074136508MaRDI QIDQ5485113

Ronald Mahieu, Ben Tims

Publication date: 28 August 2006

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

Full work available at URL: https://doi.org/10.1080/07474930600712814

zbMATH Keywords

exchange ratesmultivariate stochastic volatility modelsrange-based volatility

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand ⋮ SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation ⋮ Multivariate Stochastic Volatility: A Review

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Multivariate Stochastic Variance Models
• The Distribution of Realized Exchange Rate Volatility
• The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
• Modeling and Forecasting Realized Volatility
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
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