Multivariate stochastic volatility models based on generalized fisher transformation

Multivariate stochastic volatility models based on generalized fisher transformation

Modeling multivariate stochastic volatility (MSV) can be challenging, particularly when both variances and covariances are time-varying. In this paper, we address these challenges by introducing a new MSV model based on the generalized Fisher transformation of Archakov and Hansen (2021). Our model i...

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Bibliographic Details
Main Authors: CHEN, Han, FEI, Yijie, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
Subjects:
Multivariate stochastic volatility
Dynamic correlation
Leverage effect
particle filter
Markov chain Monte Carlo
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2683
https://ink.library.smu.edu.sg/context/soe_research/article/3682/viewcontent/MSVFisher14b.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2683
https://ink.library.smu.edu.sg/context/soe_research/article/3682/viewcontent/MSVFisher14b.pdf

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