IDEAS home Printed from https://ideas.repec.org/a/bla/jorssa/v182y2019i3p887-917.html
   My bibliography  Save this article

Multivariate stochastic volatility with large and moderate shocks

Author

Listed:
  • Marwan Izzeldin
  • Mike G. Tsionas
  • Panayotis G. Michaelides

Abstract

The paper proposes a multivariate stochastic volatility model where shifts in volatility are endogenously driven by large return shocks. The model proposed generalizes the univariate stochastic volatility model of Dendramis and colleagues to a multivariate context. Allowing for multivariate dependence permits the volatility of common return factors to affect individual stock returns volatility jointly. The model is further extended to allow for endogenous thresholds that depend on covariates. Model selection priors are introduced and the new techniques are applied by using data from the FTSE100‐index.

Suggested Citation

  • Marwan Izzeldin & Mike G. Tsionas & Panayotis G. Michaelides, 2019. "Multivariate stochastic volatility with large and moderate shocks," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 887-917, June.
  • Handle: RePEc:bla:jorssa:v:182:y:2019:i:3:p:887-917
    DOI: 10.1111/rssa.12443
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/rssa.12443
    Download Restriction: no

    File URL: https://libkey.io/10.1111/rssa.12443?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jorssa:v:182:y:2019:i:3:p:887-917. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/rssssea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/rssssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.