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Analysis of high dimensional multivariate stochastic volatility models
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Cited by:
- Hautsch, Nikolaus & Voigt, Stefan, 2019.
"Large-scale portfolio allocation under transaction costs and model uncertainty,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
- Nikolaus Hautsch & Stefan Voigt, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty," Papers 1709.06296, arXiv.org, revised Jun 2018.
- Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
- Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
- Soojin Jo & Rodrigo Sekkel, 2019.
"Macroeconomic Uncertainty Through the Lens of Professional Forecasters,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 436-446, July.
- Soojin Jo & Rodrigo Sekkel, 2016. "Macroeconomic Uncertainty Through the Lens of Professional Forecasters," Staff Working Papers 16-5, Bank of Canada.
- Soojin Jo & Rodrigo Sekkel, 2017. "Macroeconomic Uncertainty Through the Lens of Professional Forecasters," Working Papers 1702, Federal Reserve Bank of Dallas.
- Sofia Anyfantaki & Antonis Demos, 2016.
"Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 293-310, February.
- Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.
- Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021.
"Fitting Vast Dimensional Time-Varying Covariance Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 652-668, July.
- Robert Engle & Neil Shephard & Kevin Shepphard, 2008. "Fitting vast dimensional time-varying covariance models," OFRC Working Papers Series 2008fe30, Oxford Financial Research Centre.
- Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics.
- Gruber, Lutz F. & West, Mike, 2017. "Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models," Econometrics and Statistics, Elsevier, vol. 3(C), pages 3-22.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics,"
Economics Papers
2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2002. "Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics," Economics Series Working Papers 2002-FE-03, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics," OFRC Working Papers Series 2002fe03, Oxford Financial Research Centre.
- Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
- Loddo, Antonello & Ni, Shawn & Sun, Dongchu, 2011.
"Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(3), pages 342-355.
- Antonello Loddo & Shawn Ni & Dongchu Sun, 2011. "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 342-355, July.
- Shawn Ni & Antonello Loddo & Dongchu Sun, 2009. "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Working Papers 0911, Department of Economics, University of Missouri.
- Guanyu Hu & Ming-Hui Chen & Nalini Ravishanker, 2023. "Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models," Computational Statistics, Springer, vol. 38(2), pages 845-869, June.
- Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
- Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
- Joshua C.C. Chan & Angelia L. Grant, 2014. "Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion," CAMA Working Papers 2014-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002.
"Parametric and Nonparametric Volatility Measurement,"
NBER Technical Working Papers
0279, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Charles Bos & Neil Shephard, 2006.
"Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form,"
Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 219-244.
- Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form," Tinbergen Institute Discussion Papers 04-015/4, Tinbergen Institute.
- Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers 2004-W02, Economics Group, Nuffield College, University of Oxford.
- Benjamin Poignard & Manabu Asaiz, 2020. "A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models," Discussion Papers in Economics and Business 20-02, Osaka University, Graduate School of Economics.
- Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
- Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008.
"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
- Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2013. "Bayesian Inference of Multiscale Stochastic Conditional Duration Models," Working Paper series 63_13, Rimini Centre for Economic Analysis.
- K. Triantafyllopoulos, 2012.
"Multi‐variate stochastic volatility modelling using Wishart autoregressive processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 48-60, January.
- K. Triantafyllopoulos, 2013. "Multivariate stochastic volatility modelling using Wishart autoregressive processes," Papers 1311.0530, arXiv.org.
- Matteo Pelagatti & Giacomo Sbrana, 2020. "Estimating high dimensional multivariate stochastic volatility models," Working Papers 428, University of Milano-Bicocca, Department of Economics, revised Jan 2020.
- Dimitris Korobilis & Kenichi Shimizu, 2022.
"Bayesian Approaches to Shrinkage and Sparse Estimation,"
Foundations and Trends(R) in Econometrics, now publishers, vol. 11(4), pages 230-354, June.
- Korobilis, Dimitris & Shimizu, Kenichi, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," MPRA Paper 111631, University Library of Munich, Germany.
- Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Papers 2021_19, Business School - Economics, University of Glasgow.
- Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Paper series 22-02, Rimini Centre for Economic Analysis.
- Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Papers 2112.11751, arXiv.org.
- André A. P. Santos & Francisco J. Nogales & Esther Ruiz, 2013.
"Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk,"
Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 400-441, March.
- Santos, André A. P. & Nogales, Francisco J. & Ruiz Ortega, Esther, 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011.
"state-observation sampling and the econometrics of learning models,"
HEC Research Papers Series
947, HEC Paris.
- Laurent-Emmanuel Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Working Papers hal-00625500, HAL.
- Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
- José Rangel & Robert Engle, 2012.
"The Factor–Spline–GARCH Model for High and Low Frequency Correlations,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 109-124.
- José Gonzalo Rangel & Robert F. Engle, 2011. "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 109-124, May.
- Rangel José Gonzalo & Engle Robert F., 2009. "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers 2009-03, Banco de México.
- Sung Hoon Choi & Donggyu Kim, 2023. "Large Global Volatility Matrix Analysis Based on Observation Structural Information," Papers 2305.01464, arXiv.org, revised Feb 2024.
- Tsionas, Mike G., 2017. "A non-iterative (trivial) method for posterior inference in stochastic volatility models," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 83-87.
- Chan, Joshua C.C., 2023.
"Comparing stochastic volatility specifications for large Bayesian VARs,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
- Joshua C. C. Chan, 2022. "Comparing Stochastic Volatility Specifications for Large Bayesian VARs," Papers 2208.13255, arXiv.org.
- Bastian Gribisch, 2016. "Multivariate Wishart stochastic volatility and changes in regime," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 443-473, October.
- Kastner, Gregor, 2019.
"Sparse Bayesian time-varying covariance estimation in many dimensions,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 98-115.
- Gregor Kastner, 2016. "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers 1608.08468, arXiv.org, revised Nov 2017.
- Jacek Osiewalski & Anna Pajor, 2009. "Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(2), pages 179-202, November.
- Asai, Manabu & McAleer, Michael, 2015.
"Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance,"
Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
- Koop, Gary & Korobilis, Dimitris, 2010.
"Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,"
Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
- Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper series 47_09, Rimini Centre for Economic Analysis.
- Niyati Bhanja & Samia Nasreen & Arif Billah Dar & Aviral Kumar Tiwari, 2022. "Connectedness in International Crude Oil Markets," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 227-262, January.
- Chenghan Hou & Bao Nguyen & Bo Zhang, 2023. "Real‐time forecasting of the Australian macroeconomy using flexible Bayesian VARs," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 418-451, March.
- Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
- Ishihara, Tsunehiro & Omori, Yasuhiro, 2012.
"Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3674-3689.
- Tsunehiro Ishihara & Yasuhiro Omori, 2009. "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors," CIRJE F-Series CIRJE-F-700, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2010. "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors," CIRJE F-Series CIRJE-F-746, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2009. "Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors," CARF F-Series CARF-F-198, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2010. "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors," CARF F-Series CARF-F-221, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chan, Joshua C.C., 2013.
"Moving average stochastic volatility models with application to inflation forecast,"
Journal of Econometrics, Elsevier, vol. 176(2), pages 162-172.
- Joshua C C Chan, 2012. "Moving Average Stochastic Volatility Models with Application to Inflation Forecast," ANU Working Papers in Economics and Econometrics 2012-591, Australian National University, College of Business and Economics, School of Economics.
- Joshua C.C. Chan, 2013. "Moving Average Stochastic Volatility Models with Application to Inflation Forecast," CAMA Working Papers 2013-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Shirota, Shinichiro & Omori, Yasuhiro & F. Lopes, Hedibert. & Piao, Haixiang, 2017.
"Cholesky realized stochastic volatility model,"
Econometrics and Statistics, Elsevier, vol. 3(C), pages 34-59.
- Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2015. "Cholesky Realized Stochastic Volatility Model," CIRJE F-Series CIRJE-F-979, CIRJE, Faculty of Economics, University of Tokyo.
- Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2016. "Cholesky Realized Stochastic Volatility Model," CIRJE F-Series CIRJE-F-1019, CIRJE, Faculty of Economics, University of Tokyo.
- Bekierman Jeremias & Gribisch Bastian, 2016. "Estimating stochastic volatility models using realized measures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 279-300, June.
- Mike K. P. So & C. Y. Choi, 2009. "A threshold factor multivariate stochastic volatility model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 712-735.
- Gunawan, David & Kohn, Robert & Nott, David, 2021. "Variational Bayes approximation of factor stochastic volatility models," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1355-1375.
- Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022. "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, vol. 109(C).
- Gribisch, Bastian, 2013. "A latent dynamic factor approach to forecasting multivariate stock market volatility," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79823, Verein für Socialpolitik / German Economic Association.
- Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012.
"The conditional autoregressive Wishart model for multivariate stock market volatility,"
Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
- Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010. "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers 2010-07, Christian-Albrechts-University of Kiel, Department of Economics.
- Asai, M. & Caporin, M., 2009.
"Block Structure Multivariate Stochastic Volatility Models,"
Econometric Institute Research Papers
EI 2009-51, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010. "Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 10/24, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2009. "Block Structure Multivariate Stochastic Volatility Models," CIRJE F-Series CIRJE-F-699, CIRJE, Faculty of Economics, University of Tokyo.
- Ping Wu & Gary Koop, 2022. "Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix," Working Papers 2310, University of Strathclyde Business School, Department of Economics.
- Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011.
"Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis,"
Energy Economics, Elsevier, vol. 33(3), pages 497-503, May.
- Xiaodong Du & Cindy L. Yu & Dermot J. Hayes, 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Food and Agricultural Policy Research Institute (FAPRI) Publications (archive only) 09-wp491, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011. "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," ISU General Staff Papers 201105010700001512, Iowa State University, Department of Economics.
- Xiaodong Du & Cindy L. Yu & Dermot J. Hayes, 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Center for Agricultural and Rural Development (CARD) Publications 09-wp491, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49276, Agricultural and Applied Economics Association.
- Amendola, Alessandra & Braione, Manuela & Candila, Vincenzo & Storti, Giuseppe, 2020. "A Model Confidence Set approach to the combination of multivariate volatility forecasts," International Journal of Forecasting, Elsevier, vol. 36(3), pages 873-891.
- Trojan, Sebastian, 2014. "Multivariate Stochastic Volatility with Dynamic Cross Leverage," Economics Working Paper Series 1424, University of St. Gallen, School of Economics and Political Science.
- Eunhee Lee & Doo Bong Han & Rodolfo M. Nayga, 2017.
"A common factor of stochastic volatilities between oil and commodity prices,"
Applied Economics, Taylor & Francis Journals, vol. 49(22), pages 2203-2215, May.
- Lee, Eunhee & Han, Doo Bong & Ito, Shoichi & Rodolfo M. Nayga, Jr, 2015. "A common factor of stochastic volatilities between oil and commodity prices," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205771, Agricultural and Applied Economics Association.
- Trent Spears & Stefan Zohren & Stephen Roberts, 2023. "On statistical arbitrage under a conditional factor model of equity returns," Papers 2309.02205, arXiv.org.
- Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2016. "A Multiscale Stochastic Conditional Duration Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 1-28, December.
- Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015.
"Forecasting Value-at-Risk using block structure multivariate stochastic volatility models,"
International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 12/04, University of Canterbury, Department of Economics and Finance.
- Asai, M. & Caporin, M. & McAleer, M.J., 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers EI 2012-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2013. "Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 13-073/III, Tinbergen Institute.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Documentos de Trabajo del ICAE 2012-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Michael McAleer & Manabu Asai & Massimiliano Caporin, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," KIER Working Papers 812, Kyoto University, Institute of Economic Research.
- Shi, Yongjing & Tiwari, Aviral Kumar & Gozgor, Giray & Lu, Zhou, 2020. "Correlations among cryptocurrencies: Evidence from multivariate factor stochastic volatility model," Research in International Business and Finance, Elsevier, vol. 53(C).
- Travis J. Berge, 2023.
"Time-Varying Uncertainty of the Federal Reserve's Output Gap Estimate,"
The Review of Economics and Statistics, MIT Press, vol. 105(5), pages 1191-1206, September.
- Travis J. Berge, 2020. "Time-varying Uncertainty of the Federal Reserve’s Output Gap Estimate," Finance and Economics Discussion Series 2020-012r1, Board of Governors of the Federal Reserve System (U.S.), revised 14 Apr 2021.
- Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Jari Miettinen & Markus Matilainen & Klaus Nordhausen & Sara Taskinen, 2020. "Extracting Conditionally Heteroskedastic Components using Independent Component Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 293-311, March.
- Cipollini, A. & Kapetanios, G., 2008.
"A stochastic variance factor model for large datasets and an application to S&P data,"
Economics Letters, Elsevier, vol. 100(1), pages 130-134, July.
- Andrea Cipollini & George Kapetanios, 2004. "A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data," Working Papers 506, Queen Mary University of London, School of Economics and Finance.
- Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
- Tsunehiro Ishihara & Yasuhiro Omori, 2017. "Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage," The Japanese Economic Review, Japanese Economic Association, vol. 68(1), pages 63-94, March.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"Likelihood-Based Estimation of Latent Generalized ARCH Structures,"
Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
- Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
- Pettenuzzo, Davide & Sabbatucci, Riccardo & Timmermann, Allan, 2023. "Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model," Journal of Econometrics, Elsevier, vol. 235(2), pages 1522-1541.
- Dufour, Jean-Marie & Valéry, Pascale, 2009. "Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 193-206, June.
- Zhongxian Men & Adam W. Kolkiewicz & Tony S. Wirjanto, 2019. "Threshold Stochastic Conditional Duration Model for Financial Transaction Data," JRFM, MDPI, vol. 12(2), pages 1-21, May.
- Didier Nibbering & Richard Paap & Michel van der Wel, 2016. "A Bayesian Infinite Hidden Markov Vector Autoregressive Model," Tinbergen Institute Discussion Papers 16-107/III, Tinbergen Institute, revised 13 Oct 2017.
- Legrand, Romain, 2018. "Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean," MPRA Paper 88925, University Library of Munich, Germany.
- Yuta yamauchi & Yasuhiro Omori, 2019. "Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations," CIRJE F-Series CIRJE-F-1117, CIRJE, Faculty of Economics, University of Tokyo.
- Yuta Yamauchi & Yasuhiro Omori, 2020. "Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility," CIRJE F-Series CIRJE-F-1158, CIRJE, Faculty of Economics, University of Tokyo.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022.
"An automated prior robustness analysis in Bayesian model comparison,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "An automated prior robustness analysis in Bayesian model comparison," CAMA Working Papers 2019-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Tsionas, Mike G., 2021. "Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
- Joscha Beckmann & Gary Koop & Dimitris Korobilis & Rainer Alexander Schüssler, 2020.
"Exchange rate predictability and dynamic Bayesian learning,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 410-421, June.
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