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Multivariate Stochastic Volatility: A Review

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  • Manabu Asai
  • Michael McAleer
  • Jun Yu

Abstract

The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation, and evaluation of MSV models. A wide range of MSV models is presented according to various categories, namely, (i) asymmetric models, (ii) factor models, (iii) time-varying correlation models, and (iv) alternative MSV specifications, including models based on the matrix exponential transformation, the Cholesky decomposition, and the Wishart autoregressive process. Alternative methods of estimation, including quasi-maximum likelihood, simulated maximum likelihood, and Markov chain Monte Carlo methods, are discussed and compared. Various methods of diagnostic checking and model comparison are also reviewed.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 25 (2006)
Issue (Month): 2-3 ()
Pages: 145-175

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Handle: RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175

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Related research

Keywords: Asymmetry; Diagnostic checking; Estimation; Factor models; Leverage; Model comparison; Multivariate stochastic volatility; Thresholds; Time-varying correlations; Transformations;

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