Search Results - subject:"Multivariate stochastic volatility"

A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates

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

-low ranges of daily exchange rates. The multivariate stochastic volatility model decomposes the log range of each exchange rate …

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

Asymmetric Multivariate Stochastic Volatility

Asai, Manabu; McAleer, Michael - In: Econometric Reviews 25 (2006) 2-3, pp. 453-473

This paper proposes and analyses two types of asymmetric multivariate stochastic volatility (SV) models, namely, (i …

Persistent link: https://www.econbiz.de/10009228514

Multivariate Stochastic Volatility: A Review

Asai, Manabu; McAleer, Michael; Yu, Jun - In: Econometric Reviews 25 (2006) 2-3, pp. 145-175

The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years …

Persistent link: https://www.econbiz.de/10009228515

Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model

Smith, Michael; Pitts, Andrew - In: Econometric Reviews 25 (2006) 2-3, pp. 425-451

A bivariate stochastic volatility model is employed to measure the effect of intervention by the Bank of Japan (BOJ) on daily returns and volume in the USD/YEN foreign exchange market. Missing observations are accounted for, and a data-based Wishart prior for the precision matrix of the errors...

Persistent link: https://www.econbiz.de/10009228531

Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

Yu, Jun; Meyer, Renate - In: Econometric Reviews 25 (2006) 2-3, pp. 361-384

In this paper we show that fully likelihood-based estimation and comparison of multivariate stochastic volatility (SV …

Persistent link: https://www.econbiz.de/10009228571