A multivariate stochastic volatility model with the dynamic correlation and the cross leverage effect is described and its efficient estimation method using Markov chain Monte Carlo is proposed. The time-varying covariance matrices are guaranteed to be positive definite by using a matrix...

A multivariate stochastic volatility model with the dynamic correlation and the cross leverage effect is described and its efficient estimation method using Markov chain Monte Carlo is proposed. The time-varying covariance matrices are guaranteed to be positive definite by using a matrix...

　　 A multivariate stochastic volatility model with the dynamic correlation and the cross leverage effect is described and its efficient estimation method using Markov chain Monte Carlo is proposed. The time-varying covariance matrices are guaranteed to be positive denite by using a...

The efficient Bayesian estimation method using Markov chain Monte Carlo is proposed for a multivariate stochastic volatility model that is a natural extension of the univariate stochastic volatility model with leverage and heavy-tailed errors, where we further incorporate cross leverage effects...

We describe and estimate for the first time a natural multivariate extension of the univariate stochastic volatility model with leverage. The model, which we call the multivariate stochastic volatility with cross leverage, is fit by a tuned Bayesian MCMC method. Of particular general interest is...

A multivariate stochastic volatility model with dynamic correlation and leverage effect is described and estimated. The matrix exponential transformation is used to keep the time-varying covariance matrices positive definite. An efficient Bayesian estimation method using Markov chain Monte Carlo...

We describe and estimate for the first time a natural multivariate extension of the univariate stochastic volatility model with leverage. The model, which we call the multivariate stochastic volatility with cross leverage, is fit by a tuned Bayesian MCMC method. Of particular general interest is...

An efficient Bayesian estimation using a Markov chain Monte Carlo method is proposed in the case of a multivariate stochastic volatility model as a natural extension of the univariate stochastic volatility model with leverage and heavy-tailed errors. The cross-leverage effects are further...

This paper proposes a Bayesian estimation of the payoff functions in entry games using Markov chain Monte Carlo simulation. In order to deal with the multiple Nash equilibria, we describe the econometric model with a latent variable that represents the player's choice of an equilibrium among the...

Decreasing block rate pricing is a nonlinear price system often used for public utility services. Residential gas services in Japan and the United Kingdom are provided under this price schedule. The discrete/continuous choice approach is used to analyze the demand under decreasing block rate...