Forecasting Value-at-Risk using block structure multivariate stochastic volatility models

International Review of Economics & Finance ◽

10.1016/j.iref.2015.02.004 ◽

2015 ◽

Vol 40 ◽

pp. 40-50 ◽

Cited By ~ 4

Author(s):

Manabu Asai ◽

Massimiliano Caporin ◽

Michael McAleer

Keyword(s):

At Risk ◽

Stochastic Volatility ◽

Value At Risk ◽

Block Structure ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

Download Full-text

Value at risk estimation under stochastic volatility models using adaptive PMCMC methods

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918.2016.1235188 ◽

2017 ◽

Vol 46 (9) ◽

pp. 7221-7237 ◽

Cited By ~ 1

Author(s):

Xinxia Yang ◽

Ratthachat Chatpatanasiri ◽

Pairote Sattayatham

Keyword(s):

At Risk ◽

Stochastic Volatility ◽

Value At Risk ◽

Risk Estimation ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Block Structure Multivariate Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1524667 ◽

2009 ◽

Cited By ~ 5

Author(s):

Manabu Asai ◽

Massimiliano Caporin ◽

Michael McAleer

Keyword(s):

Stochastic Volatility ◽

Block Structure ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

Download Full-text

Singular Spectrum Analysis for Value at Risk in Stochastic Volatility models

Journal of Forecasting ◽

10.1002/for.2796 ◽

2021 ◽

Author(s):

Josu Arteche ◽

Javier García‐Enríquez

Keyword(s):

At Risk ◽

Stochastic Volatility ◽

Spectrum Analysis ◽

Value At Risk ◽

Singular Spectrum Analysis ◽

Stochastic Volatility Models ◽

Singular Spectrum ◽

Volatility Models

Download Full-text

Nonlinear filtering of asymmetric stochastic volatility models and Value-at-Risk estimation

2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) ◽

10.1109/cifer.2014.6924089 ◽

2014 ◽

Cited By ~ 3

Author(s):

Nikolay Y. Nikolaev ◽

Lilian M. de Menezes ◽

Evgueni Smirnov

Keyword(s):

At Risk ◽

Stochastic Volatility ◽

Value At Risk ◽

Nonlinear Filtering ◽

Risk Estimation ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk

Applied Quantitative Methods for Trading and Investment ◽

10.1002/0470013265.ch8 ◽

2005 ◽

pp. 239-291 ◽

Cited By ~ 1

Author(s):

Monica Billio ◽

Domenico Sartore

Keyword(s):

At Risk ◽

Option Pricing ◽

Stochastic Volatility ◽

Value At Risk ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models

Journal of Mathematical Finance ◽

10.4236/jmf.2012.21010 ◽

2012 ◽

Vol 02 (01) ◽

pp. 83-89 ◽

Cited By ~ 1

Author(s):

Yong Li ◽

Fang-Ping Peng ◽

Hao-Feng Xu

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Persistence ◽

Bayesian Testing ◽

Volatility Models ◽

Asset Volatility ◽

Multivariate Stochastic Volatility

Download Full-text

Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models

Econometric Reviews ◽

10.1080/07474930600712848 ◽

2006 ◽

Vol 25 (2-3) ◽

pp. 385-408 ◽

Cited By ~ 14

Author(s):

Borus Jungbacker ◽

Siem Jan Koopman

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

Download Full-text

Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models

Econometric Reviews ◽

10.1080/07474930600713424 ◽

2006 ◽

Vol 25 (2-3) ◽

pp. 335-360 ◽

Cited By ~ 50

Author(s):

Roman Liesenfeld ◽

Jean-François Richard

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

Download Full-text

Option Pricing in Multivariate Stochastic Volatility Models of OU Type

SIAM Journal on Financial Mathematics ◽

10.1137/100803687 ◽

2012 ◽

Vol 3 (1) ◽

pp. 66-94 ◽

Cited By ~ 38

Author(s):

Johannes Muhle-Karbe ◽

Oliver Pfaffel ◽

Robert Stelzer

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

Download Full-text

Estimating High Dimensional Multivariate Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.3524618 ◽

2020 ◽

Author(s):

Matteo M. Pelagatti ◽

Giacomo Sbrana

Keyword(s):

Stochastic Volatility ◽

High Dimensional ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

Download Full-text