Multivariate stochastic volatility
The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation and evaluation of MSV models. A wide range of MSV models is presented according to various categories, nam...
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sg-smu-ink.soe_research-21292019-04-26T13:50:48Z Multivariate stochastic volatility ASAI, Manabu McAleer, Michael YU, Jun The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation and evaluation of MSV models. A wide range of MSV models is presented according to various categories, namely (i) asymmetric models; (ii) factor models; (iii) time-varying correlation models; and (iv) alternative MSV specifications, including models based on the matrix exponential transformation, Cholesky decomposition, Wishart autoregressive process, and the empirical range. Alternative methods of estimation, including quasi-maximum likelihood, simulated maximum likelihood, Monte Carlo likelihood, and Markov chain Monte Carlo methods, are discussed and compared. Various methods of diagnostic checking and model comparison are also examined. 2006-12-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1130 https://ink.library.smu.edu.sg/context/soe_research/article/2129/viewcontent/svmulti_survey04_A21.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University multivariate stochastic volatility asymmetry leverage thresholds factor models time-varying correlations transformations estimation diagnostic checking model comparison Econometrics |
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multivariate stochastic volatility asymmetry leverage thresholds factor models time-varying correlations transformations estimation diagnostic checking model comparison Econometrics ASAI, Manabu McAleer, Michael YU, Jun Multivariate stochastic volatility |
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The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation and evaluation of MSV models. A wide range of MSV models is presented according to various categories, namely (i) asymmetric models; (ii) factor models; (iii) time-varying correlation models; and (iv) alternative MSV specifications, including models based on the matrix exponential transformation, Cholesky decomposition, Wishart autoregressive process, and the empirical range. Alternative methods of estimation, including quasi-maximum likelihood, simulated maximum likelihood, Monte Carlo likelihood, and Markov chain Monte Carlo methods, are discussed and compared. Various methods of diagnostic checking and model comparison are also examined. |
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text |
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ASAI, Manabu McAleer, Michael YU, Jun |
author_facet |
ASAI, Manabu McAleer, Michael YU, Jun |
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ASAI, Manabu |
title |
Multivariate stochastic volatility |
title_short |
Multivariate stochastic volatility |
title_full |
Multivariate stochastic volatility |
title_fullStr |
Multivariate stochastic volatility |
title_full_unstemmed |
Multivariate stochastic volatility |
title_sort |
multivariate stochastic volatility |
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Institutional Knowledge at Singapore Management University |
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2006 |
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https://ink.library.smu.edu.sg/soe_research/1130 https://ink.library.smu.edu.sg/context/soe_research/article/2129/viewcontent/svmulti_survey04_A21.pdf |
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