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.

引用

页码：315 / 323

页数：9

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