A common jump factor stochastic volatility model

被引：4
|
作者：
Laurini, Marcio Poletti [1 ]
Mauad, Roberto Baltieri [1 ]
机构：
[1] FEA RP USP, Dept Econ, Ribeirao Preto, Brazil
来源：
FINANCE RESEARCH LETTERS | 2015年 / 12卷
关键词：
Stochastic volatility; MCMC; Jump process; Regime changes; LEVEL SHIFTS;
D O I：
10.1016/j.frl.2014.12.009
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We introduce a new multivariate stochastic volatility model, based on the presence of a latent common factor with random jumps. The common factor is parameterized as a permanent component using a compound binomial process. This model can capture common jumps in the latent volatilities between markets, with particular relevance in the presence of crises and contagion in emerging markets. (C) 2015 Elsevier Inc. All rights reserved.
引用
收藏
页码：2 / 10
页数：9
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