Dynamic correlation multivariate stochastic volatility with latent factors

DOI10.1111/stan.12115OpenAlexW2744431467MaRDI QIDQ6089161

Sujit Kumar Ghosh, Peter Bloomfield, Sheng-Jhih Wu, Yu-Cheng Ku

Publication date: 14 December 2023

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/stan.12115

zbMATH Keywords

log-concavityWishart processesmultivariate stochastic volatilitycorrelation breakdowninterval forecast efficiency

Mathematics Subject Classification ID

Parametric inference (62Fxx) Applications of statistics (62Pxx) Probabilistic methods, stochastic differential equations (65Cxx)

Cites Work

• Unnamed Item
• The Wishart autoregressive process of multivariate stochastic volatility
• The structure of dynamic correlations in multivariate stochastic volatility models
• The conditional autoregressive Wishart model for multivariate stock market volatility
• Common volatility and correlation clustering in asset returns
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
• Inference and modeling with log-concave distributions
• Fast computation of the deviance information criterion for latent variable models
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
• Particle Markov Chain Monte Carlo Methods
• Bayesian Measures of Model Complexity and Fit
• Bayes Factors
• A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
• Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions
• Factor Multivariate Stochastic Volatility via Wishart Processes
• Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
• Maximum Likelihood Estimation of the Parameters of the Gamma Distribution and Their Bias
• SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models

This page was built for publication: Dynamic correlation multivariate stochastic volatility with latent factors