Multivariate stochastic volatility: A review

Multivariate stochastic volatility: A review

The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last four 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, n...

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Bibliographic Details
Main Authors: ASAI, Manabu, McAleer, Michael, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2006
Subjects:
Asymmetry
Diagnostic checking
Estimation
Factor models
Leverage
Model comparison
Multivariate stochastic volatility
Thresholds
Time-varying correlations
Transformations
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1912
https://ink.library.smu.edu.sg/context/soe_research/article/2911/viewcontent/Yu_ER_MultivariateStochasticVolatility_2006.pdf
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Institution: Singapore Management University
Language: English
Description
Summary:The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last four 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, the Cholesky decomposition, and the Wishart autoregressive process. Alternative methods of estimation, including quasi-maximum likelihood, simulated maximum likelihood, and Markov chain Monte Carlo methods, are discussed and compared. Various methods of diagnostic checking and model comparison are also reviewed.

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