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Efficient Bayesian estimation of multivariate stochastic volatility models with leverage effects

Efficient Bayesian estimation of multivariate stochastic volatility models with leverage effects
Paper博士論文
Tsunehiro Ishihara [著][Tsunehiro Ishihara][2011]<UT51-2011-N109>
National Diet Library

Multivariate stochastic volatility

Multivariate stochastic volatility
Paper文書・図像類
Chib, Siddhartha, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2007-04Discussion paper series. CIRJE-FCIRJE-F-488
Other Libraries in Japan

Multivariate Stochastic Volatility with Co-Heteroscedasticity

Multivariate Stochastic Volatility with Co-Heteroscedasticity
Digital文書・図像類
CHAN, Joshua, DOUCET, Arnaud, Leon-Gonzalez, Roberto, STRACHAN, Rodney W.GRIPS Policy Research Center2020-09-04GRIPS Discussion Papers20-09
Other Libraries in Japan
  • Summary, etc....e model uses a multivariate stochastic volatility inverse Wishart process. The ...
  • Note (General)...der the grant "Multivariate Stochastic Volatility with Partial Homoscedasticity...

Multivariate Stochastic Volatility with Co-Heteroscedasticity

Multivariate Stochastic Volatility with Co-Heteroscedasticity
Digital文書・図像類
CHAN, Joshua, DOUCET, Arnaud, LEON-GONZALEZ, Roberto, STRACHAN, Rodney W.GRIPS Policy Research Center2018-10-11GRIPS Discussion PapersDP18-12
Other Libraries in Japan
  • Summary, etc....e model uses a multivariate stochastic volatility inverse Wishart process. The ...

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 ...

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...

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...

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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