This work deals with multivariate stochastic volatility models, which account for a time-varying variance-covariance structure of the observable variables. We focus on a special class of models recently proposed in the literature and assume that the covariance matrix is a latent variable which follows an autoregressive Wishart process. We review two alternative stochastic representations of the Wishart process and propose Markov- Switching Wishart processes to capture different regimes in the volatility level. We apply a full Bayesian inference approach, which relies upon Sequential Monte Carlo (SMC) for matrix-valued distributions and allows us to sequentially estimate both the parameters and the latent variables.
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Paper provided by University of Brescia, Department of Economics in its series Working Papers with number
0816.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Ghysels, E. & Harvey, A. & Renault, E., 1995.
"Stochastic Volatility,"
Papers
95.400, Toulouse - GREMAQ.
Other versions:
Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility,"
Cahiers de recherche
9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility,"
Cahiers de recherche
9613, Universite de Montreal, Departement de sciences economiques.
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