Dynamic factor, leverage and realized covariances in multivariate stochastic volatility

DOI10.1080/07474938.2023.2209007arXiv2011.06909MaRDI QIDQ6049839

Unnamed Author, Yasuhiro Omori

Publication date: 18 September 2023

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

Full work available at URL: https://arxiv.org/abs/2011.06909

zbMATH Keywords

stochastic volatilityMarkov chain Monte Carlodynamic factorrealized covariance matrixportfolio performance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• On leverage in a stochastic volatility model
• Analysis of high dimensional multivariate stochastic volatility models
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• Block sampler and posterior mode estimation for asymmetric stochastic volatility models
• Markov chain Monte Carlo methods for stochastic volatility models.
• Likelihood analysis of non-Gaussian measurement time series
• A simple and efficient simulation smoother for state space time series analysis
• The simulation smoother for time series models
• A New Parametrization of Correlation Matrices
• A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
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