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検索結果 10 件

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

A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models
紙文書・図像類
Poignard, Benjamin, Asai, ManabuGraduate School of Economics, Osaka University2020-01Discussion Papers In Economics And Business20-02p.1-46
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  • 件名Forecasting Multivariate Stochastic Volatility Oracle Property Penalised M-e...
  • 一般注記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
デジタル文書・図像類
Kim, Dukpa, Yamamoto, YoheiInstitute of Economic Research, Hitotsubashi University2013-02
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  • 要約等...egression with multivariate stochastic volatility. Our model has a smaller numb...
  • 件名Time 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
デジタル文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-01KIER Discussion Paper840
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  • 件名Multivariate Stochastic Volatility Wishart Process Leverage Effe...

A Fractionally Integrated Wishart Stochastic Volatility Model

A Fractionally Integrated Wishart Stochastic Volatility Model
デジタル文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-02KIER Discussion Paper848
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  • 要約等...ontinuous time multivariate stochastic volatility models. We propose a continuo...
  • 件名Diffusion process Multivariate stochastic volatility Long memory Fractional Browni...

Dynamic Equicorrelation Stochastic Volatility

Dynamic Equicorrelation Stochastic Volatility
紙文書・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
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  • 件名...i-move sampler multivariate stochastic volatility

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
紙文書・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
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  • 件名...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
デジタル文書・図像類
McAleer, Michael, Asai, Manabu, Caporin, MassimilianoInstitute of Economic Research, Kyoto University2012-04KIER Discussion Paper812
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  • 要約等...terization for multivariate stochastic volatility models. The empirical analysi...
  • 件名block structures multivariate stochastic volatility curse of dimensionality lever...

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
紙文書・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
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  • 件名...i-move sampler Multivariate stochastic volatility

Block Structure Multivariate Stochastic Volatility Models

Block Structure Multivariate Stochastic Volatility Models
紙文書・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
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  • 件名block 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
紙文書・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
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  • 件名...i-move sampler Multivariate stochastic volatility

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