Multivariate Stochastic Volatility Model with Cross Leverage

被引：0
|
作者：
Ishihara, Tsunehiro [1 ]
Omori, Yasuhiro [2 ]
机构：
[1] Univ Tokyo, Grad Sch Econ, Bunkyo Ku, 7-3-1 Hongo, Tokyo 1130033, Japan
[2] Univ Tokyo, Fac Econ, Bunkyo Ku, 7-3-1 Hongo, Tokyo 1130033, Japan
来源：
COMPSTAT'2010: 19TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL STATISTICS | 2010年
关键词：
asymmetry; Bayesian analysis; leverage effect; Markov chain Monte Carlo; multi-move sampler; multivariate stochastic volatility; stock returns; SIMULATION SMOOTHER;
D O I：
10.1007/978-3-7908-2604-3_29
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
The Bayesian estimation method using Markov chain Monte Carlo is proposed for a multivariate stochastic volatility model that is a natural extension of the univariate stochastic volatility model with leverage, where we further incorporate cross leverage effects among stock returns.
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页码：315 / 323
页数：9
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