IDEAS home Printed from https://ideas.repec.org/a/taf/emetrv/v42y2023i6p513-539.html
   My bibliography  Save this article

Dynamic factor, leverage and realized covariances in multivariate stochastic volatility

Author

Listed:
  • Yuta Yamauchi
  • Yasuhiro Omori

Abstract

In the stochastic volatility models for multivariate daily stock returns, it has been found that the estimates of parameters become unstable as the dimension of returns increases. To solve this problem, we focus on the factor structure of multiple returns and consider two additional sources of information: first, the stock index associated with the market factor and, second, the realized covariance matrix calculated from high-frequency data. The proposed dynamic factor model with the leverage effect and realized measures is applied to 10 top stocks composing the exchange traded fund linked with the investment return of the S&P 500 index and the model is shown to have a stable advantage in portfolio performance.

Suggested Citation

  • Yuta Yamauchi & Yasuhiro Omori, 2023. "Dynamic factor, leverage and realized covariances in multivariate stochastic volatility," Econometric Reviews, Taylor & Francis Journals, vol. 42(6), pages 513-539, June.
    • Handle: RePEc:taf:emetrv:v:42:y:2023:i:6:p:513-539
    DOI: 10.1080/07474938.2023.2209007
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/07474938.2023.2209007
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/07474938.2023.2209007?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
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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:taf:emetrv:v:42:y:2023:i:6:p:513-539. See general information about how to correct material in RePEc.

    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: the person in charge (email available below). General contact details of provider: http://www.tandfonline.com/LECR20 .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.