Multivariate Stochastic Volatility with Co-Heteroscedasticity

Material type: 文書・図像類

Author: CHAN, Joshuaほか

Publisher: GRIPS Policy Research Center

Publication date: 2018-10-11

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Note (General)：: https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/Revised to: September, 2020 [20-09] http://doi.org/10.24545/00001766 | http://doi.or...

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Summary, etc.：: This paper develops a new methodology that decomposes shocks into homoscedastic and heteroscedastic components. This specification implies there exist...

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Material Type: 文書・図像類
Title: Multivariate Stochastic Volatility with Co-Heteroscedasticity
Author/Editor: CHAN, Joshua
DOUCET, Arnaud
LEON-GONZALEZ, Roberto
STRACHAN, Rodney W.
Author Heading: CHAN, Joshua
DOUCET, Arnaud
LEON-GONZALEZ, Roberto
STRACHAN, Rodney W.
Publication, Distribution, etc.: GRIPS Policy Research Center
Publication Date: 2018-10-11
Publication Date (W3CDTF): 2018-10-11
Periodical title: GRIPS Discussion Papers
No. or year of volume/issue: DP18-12
Volume: DP18-12
Text Language Code: eng
Subject Heading: Markov Chain Monte Carlo
Gibbs Sampling
Flexible Parametric Model
Particle Filter
Co-heteroscedasticity
state-space
reparameterization
alternating-order
Target Audience: 一般
Note (General): https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/
Revised to: September, 2020 [20-09] http://doi.org/10.24545/00001766 | http://doi.org/10.24545/00001766
JEL Classification Codes: C11, C15
Roberto León-González acknowledges financial support from the Nomura Foundation (BE-004).
DOI: 10.24545/00001640
Access Restrictions: 限定公開
Related Material: isIdenticalTo
https://ideas.repec.org/p/ngi/dpaper/18-12.html
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 政策研究大学院大学 : 政策研究大学院大学学術機関リポジトリ