Download or read book Special Issue Multivariate Stochastic Volatility written by Esfandiar Maasoumi and published by . This book was released on 2006 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Special Issue on Multivariate Volatility Models written by René Garcia and published by . This book was released on 2009 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Stochastic Volatility written by Jón Daníelsson and published by . This book was released on 1995 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Stochastic Volatility written by and published by . This book was released on 2006 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Stochastic Volatility written by Esfandiar Maasoumi and published by . This book was released on 2006 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Real Time Estimation of Multivariate Stochastic Volatility Models written by Jian Wang and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Models and Priors for Multivariate Stochastic Volatility written by Eric Jacquier and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Analysis of High Dimensional Multivariate Stochastic Volatility Models written by Siddhartha Chib and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is concerned with the fitting and comparison of high dimensional multivariate time series models with time varying correlations. The models considered here combine features of the classical factor model with those of the univariate stochastic volatility model. Specifically, a set of unobserved time-dependent factors, along with an associated loading matrix, are used to model the contemporaneous correlation while, conditioned on the factors, the noise in each factor and each series is assumed to follow independent three-parameter univariate stochastic volatility processes. A complete analysis of these models, and its special cases, is developed that encompasses estimation, filtering and model choice. The centerpieces of our estimation algorithm (which relies on MCMC methods) is (1) a reduced blocking scheme for sampling the free elements of the loading matrix and the factors and (2) a special method for sampling the parameters of the univariate SV process. The sampling of the loading matrix (containing typically many hundreds of parameters) is done via a highly tuned Metropolis-Hastings step. The resulting algorithm is completely scalable in terms of series and factors and very simulation-efficient. We also provide methods for estimating the log-likelihood function and the filtered values of the time-varying volatilities and correlations. We pay special attention to the problem of comparing one version of the model with another and for determining the number of factors. For this purpose we use MCMC methods to find the marginal likelihood and associated Bayes factors of each fitted model. In sum, these procedures lead to the first unified and practical likelihood based analysis of truly high dimensional models of stochastic volatility. We apply our methods in detail to two datasets. The first is the return vector on 20 exchange rates against the US Dollar. The second is the return vector on 40 common stocks quoted on the New York Stock Exchange.
Download or read book Multivariate Stochastic Volatility Models Based on Generalized Fisher Transformation written by Han Chen and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Stochastic Volatility with Dynamic Cross Leverage written by Sebastian Trojan and published by . This book was released on 2014 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Stochastic Volatility with Co heteroscedasticity written by Joshua Chan and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models written by Jonas E. Arias and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Stochastic Volatility Models written by Jón Daníelsson and published by . This book was released on 1996 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inference for Multivariate Stochastic Volatility and Related Models written by Kiriaki Platanioti and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Stochastic Volatility written by Jón Daníelson and published by . This book was released on 1991 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Multivariate Non Gaussian Stochastic Volatility Model with Leverage for Energy Markets written by Linda Vos and published by . This book was released on 2014 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spot prices in energy markets exhibit special features like price spikes, mean-reversion inverse, stochastic volatility, inverse leverage effect and co-integration between the different commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. Second order structure and stationary issues of the model are analysed. Moreover the implied multivariate forward model is derived. Due to the flexibility of the model stylized facts of the forward curve as contango, backwardation and humps are explained. Moreover, a transformed-based method to price options on the forward is described, where fast and precise algorithms for price computations can be implemented. A simulation method for Monte Carlo generation of price paths is introduced.
Download or read book Models and Priors for Multivariate Stochastic Volatility written by Peter E. (Peter Eric) Rossi and published by Montréal : CIRANO. This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
