Multivariate Stochastic Volatility with Co-Heteroscedasticity

• Material Type: 規格・テクニカルリポート類
• 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: 2020-09-04
• Publication Date (W3CDTF): 2020-09-04
• Periodical title: GRIPS Discussion Papers
• No. or year of volume/issue: 20-09
• Volume: 20-09
• 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): 出版タイプ： AM; http://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/; First version: October, 2018 [18-12] http://doi.org/10.24545/00001640; JEL Classification Codes: C11, C15; Roberto Leon-Gonzalez acknowledges financial support from the GRIPS Policy Research Center under the grant "Multivariate Stochastic Volatility with Partial Homoscedasticity", from the Nomura Foundation (BE-004) and from JSPS (category C, 19K01588).; Rodney Strachan acknowledges financial support from the GRIPS Policy Research Center for a research visit to GRIPS.
• DOI: 10.24545/00001766; https://doi.org/10.24545/00001766
• Access Restrictions: インターネット公開
• Related Material: isIdenticalTo : https://ideas.repec.org/p/ngi/dpaper/20-09.html; https://ideas.repec.org/p/ngi/dpaper/20-09.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

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