Essays on multivariate stochastic volatility models

• المؤلف الرئيسي: CHEN, Han
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2020
• الموضوعات: Stochastic volatility; Dynamic correlation; Multivariate asset returns; Particle Filter; Markov Chain Monte Carlo; Realized Measures; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll/305; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1315&context=etd_coll

In this dissertation, I have made several contributions to the literature on the multivariate stochastic volatility model. First, I have considered a new multivariate stochastic volatility (MSV) model based on a recently proposed novel parameterization of the correlation matrix. This modeling design...