A multivariate threshold stochastic volatility model

被引：9

作者：

So, Mike K. P. ^{[1
]}

Choi, C. Y. ^{[1
]}

机构：

[1] Hong Kong Univ Sci & Technol, Sch Business & Management, Dept Informat & Syst Management, Hong Kong, Hong Kong, Peoples R China

来源：

MATHEMATICS AND COMPUTERS IN SIMULATION | 2008年 / 79卷 / 03期

关键词：

Dynamic correlation; Finance; Stochastic volatility; Threshold nonlinearity; Volatility asymmetry;

D O I：

10.1016/j.matcom.2007.12.003

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

We introduce in this paper a multivariate threshold stochastic volatility model for multiple financial return time series. This model allows the dynamic structure of return and volatility to change according to a threshold model while accounting for the interdependence of financial returns. Through the threshold volatility modeling, we can understand the impact of market news on volatility asymmetry. Estimation of unknown parameters are carried out using Markov chain Monte Carlo techniques. Simulations show that our estimators are reliable in moderately large sample sizes. We apply the model to three market indice data and estimate time-varying correlations among the indice returns. (C) 2008 IMACS. Published by Elsevier B.V. All rights reserved.

引用

页码：306 / 317

页数：12

共 50 条

[1] A Threshold Factor Multivariate Stochastic Volatility Model
So, Mike K. P.
Choi, C. Y.
[J]. JOURNAL OF FORECASTING, 2009, 28 (08) : 712 - 735
[2] A threshold stochastic volatility model
So, MKP
Li, WK
Lam, K
[J]. INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (03): : 485 - 485
[3] A threshold stochastic volatility model
So, MKP
Li, WK
Lam, K
[J]. JOURNAL OF FORECASTING, 2002, 21 (07) : 473 - 500
[4] THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL
Barndorff-Nielsen, Ole Eiler
Stelzer, Robert
[J]. MATHEMATICAL FINANCE, 2013, 23 (02) : 275 - 296
[5] A multivariate long memory stochastic volatility model
So, MKP
Kwok, SWY
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2006, 362 (02) : 450 - 464
[6] Multivariate Stochastic Volatility Model with Cross Leverage
Ishihara, Tsunehiro
Omori, Yasuhiro
[J]. COMPSTAT'2010: 19TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL STATISTICS, 2010, : 315 - 323
[7] A threshold stochastic volatility model with explanatory variables
Li, Han
Yang, Kai
Wang, Dehui
[J]. STATISTICA NEERLANDICA, 2019, 73 (01) : 118 - 138
[8] Bayesian Analysis of a Threshold Stochastic Volatility Model
Wirjanto, Tony S.
Kolkiewicz, Adam W.
Men, Zhongxian
[J]. JOURNAL OF FORECASTING, 2016, 35 (05) : 462 - 476
[9] On a buffered threshold autoregressive stochastic volatility model
Wang, Qingzheng
Yiu, Ka-Fai Cedric
Wong, Heung
[J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2022, 38 (06) : 974 - 996
[10] On filtering and estimation of a threshold stochastic volatility model
Elliott, Robert J.
Liew, Chuin Ching
Siu, Tak Kuen
[J]. APPLIED MATHEMATICS AND COMPUTATION, 2011, 218 (01) : 61 - 75

← 1 2 3 4 5 →