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A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models

A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models
Paper文書・図像類
Poignard, Benjamin, Asai, ManabuGraduate School of Economics, Osaka University2020-01Discussion Papers In Economics And Business20-02p.1-46
Other Libraries in Japan
  • Subject HeadingForecasting Multivariate Stochastic Volatility Oracle Property Penalised M-e...
  • Note (General)Although multivariate stochastic volatility (MSV) models usually produce ...

Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR

Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR
Digital文書・図像類
Kim, Dukpa, Yamamoto, YoheiInstitute of Economic Research, Hitotsubashi University2013-02
Available onlineOther Libraries in Japan
  • Summary, etc....egression with multivariate stochastic volatility. Our model has a smaller numb...
  • Subject HeadingTime Varying Monetary Policy Rule In㌢tion Persistence Multivariate Stochastic Volatility

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-01KIER Discussion Paper840
Available onlineOther Libraries in Japan
  • Subject HeadingMultivariate Stochastic Volatility Wishart Process Leverage Effe...

A Fractionally Integrated Wishart Stochastic Volatility Model

A Fractionally Integrated Wishart Stochastic Volatility Model
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-02KIER Discussion Paper848
Available onlineOther Libraries in Japan
  • Summary, etc....ontinuous time multivariate stochastic volatility models. We propose a continuo...
  • Subject HeadingDiffusion process Multivariate stochastic volatility Long memory Fractional Browni...

Dynamic Equicorrelation Stochastic Volatility

Dynamic Equicorrelation Stochastic Volatility
Paper文書・図像類
Kurose, Yuta, Omori, Yasuhiro日本経済国際共同センター2013-11Discussion paper series. CIRJE-FCIRJE-F-907
Other Libraries in Japan
  • Subject Heading...i-move sampler multivariate stochastic volatility

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2013-09Discussion paper series. CIRJE-FCIRJE-F-904
Other Libraries in Japan
  • Subject Heading...i-move sampler Multivariate stochastic volatility

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
Digital文書・図像類
McAleer, Michael, Asai, Manabu, Caporin, MassimilianoInstitute of Economic Research, Kyoto University2012-04KIER Discussion Paper812
Available onlineOther Libraries in Japan
  • Summary, etc....terization for multivariate stochastic volatility models. The empirical analysi...
  • Subject Headingblock structures multivariate stochastic volatility curse of dimensionality lever...

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2011-08Discussion paper series. CIRJE-FCIRJE-F-812
Other Libraries in Japan
  • Subject Heading...i-move sampler Multivariate stochastic volatility

Block Structure Multivariate Stochastic Volatility Models

Block Structure Multivariate Stochastic Volatility Models
Paper文書・図像類
Asai, Manabu, Caporin, Massimiliano, McAleer, Michael日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-699
Other Libraries in Japan
  • Subject Headingblock structures multivariate stochastic volatility curse of dimensionality JEL c...

Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors

Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro日本経済国際共同センター2010-05Discussion paper series. CIRJE-FCIRJE-F-746
Other Libraries in Japan
  • Subject Heading...i-move sampler Multivariate stochastic volatility

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