Search Results - subject:"Multivariate Stochastic Volatility Models"

Multivariate stochastic volatility models: an empirical application for foreign exchange rates

Davaslıgil Atmaca, Verda - In: Selected topics in applied econometrics, (pp. 175-196). 2019

Persistent link: https://www.econbiz.de/10012286980

A Range-Based Multivariate Model for Exchange Rate Volatility

Mahieu, Ronald; Tims, Tims, B. - Erasmus Research Institute of Management (ERIM), … - 2003

In this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high-low ranges of daily exchange rates. The multivariate stochastic volatility model divides the log range of each exchange rate into two independent latent factors, which are...

Persistent link: https://www.econbiz.de/10010731210

A Range-Based Multivariate Model for Exchange Rate Volatility

Tims, B.; Mahieu, R.J. - Erasmus Research Institute of Management (ERIM), ERIM … - 2003

Persistent link: https://www.econbiz.de/10005288556

A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates

Tims, Ben; Mahieu, Ronald - In: Econometric Reviews 25 (2006) 2-3, pp. 409-424

In this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high-low ranges of daily exchange rates. The multivariate stochastic volatility model decomposes the log range of each exchange rate into two independent latent factors, which could be...

Persistent link: https://www.econbiz.de/10009228506