Search Results - subject:"Multivariate stochastic volatility"

Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 40-50

Persistent link: https://www.econbiz.de/10011571858

Multivariate Stochastic Volatility with Dynamic Cross Leverage

Trojan, Sebastian - School of Economics and Political Science, Universität … - 2014

WA multivariate stochastic volatility (MSV) model based on a Cholesky-type decomposition of the covariance matrix to …

Persistent link: https://www.econbiz.de/10010886746

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance

Asai, Manabu; McAleer, Michael - Department of Economics and Finance, College of … - 2014

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …

Persistent link: https://www.econbiz.de/10010907411

Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models

Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International Journal of Forecasting 30 (2014) 4, pp. 963-980

We extend the recently introduced latent threshold dynamic models to include dependencies among the dynamic latent factors which underlie multivariate volatility. With an ability to induce time-varying sparsity in factor loadings, these models now also allow time-varying correlations among...

Persistent link: https://www.econbiz.de/10010939732

The dynamics of sovereign credit default swaps and the evolution of the financial crisis in selected Central European economies

Kliber, Agata - In: Finance a úvěr 64 (2014) 4, pp. 330-350

Persistent link: https://www.econbiz.de/10010399918

Multivariate stochastic volatility with dynamic cross leverage

Trojan, Sebastian - 2014

Persistent link: https://www.econbiz.de/10010437486

Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models

Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International journal of forecasting 30 (2014) 4, pp. 963-980

Persistent link: https://www.econbiz.de/10010517774

A Stochastic Volatility Model and Inference for the Term Structure of Interest

Liu, Peng - 2007

stochastic volatility models, which is flexible, extensible, providing the existence of an inexpensive inference approach … characteristics that conform to some empirical evidences and conventions. Eventually, the development reaches a class of multivariate …

Persistent link: https://www.econbiz.de/10009431300

Likelihood-based inference for correlated diffusions

Kalogeropoulos, Konstantinos; Dellaportas, Petros; … - Volkswirtschaftliche Fakultät, … - 2007

Biometrika 88(3):603-621) to d-dimensional correlated diffusions including multivariate stochastic volatility models. Our …

Persistent link: https://www.econbiz.de/10005836360

Matrix-State Particle Filter for Wishart Stochastic Volatility Processes

Casarin, Roberto; Sartore, Domenico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2007

This work deals with multivariate stochastic volatility models, which account for a time-varying variance …

Persistent link: https://www.econbiz.de/10009643871