Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models

Journal of Empirical Finance ◽

10.1016/s0927-5398(97)00016-9 ◽

1998 ◽

Vol 5 (2) ◽

pp. 155-173 ◽

Author(s):

Jón Danı́elsson

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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 ◽

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 ◽

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 ◽

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 ◽

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

Using multivariate stochastic volatility models to investigate the interactions among NASDAQ and major Asian stock indices

Applied Economics Letters ◽

10.1080/13504850500426186 ◽

2007 ◽

Vol 14 (2) ◽

pp. 127-133 ◽

Author(s):

Shieh-Liang Chen ◽

Shian-Chang Huang ◽

Yi-Mien Lin

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Stock Indices ◽

Volatility Models ◽

Multivariate Stochastic Volatility

Download Full-text

Multivariate Stochastic Volatility Models

Handbook of Volatility Models and Their Applications ◽

10.1002/9781118272039.ch7 ◽

2012 ◽

pp. 175-197 ◽

Author(s):

Yasuhiro Omori ◽

Tsunehiro Ishihara

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

Download Full-text

Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study

International Econometric Review ◽

10.33818/ier.278044 ◽

2016 ◽

Vol 8 (2) ◽

pp. 19-52 ◽

Author(s):

M. Hakan Eratalay

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Monte Carlo Study ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

Download Full-text

Block Structure Multivariate Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1524667 ◽

2009 ◽

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

The structure of dynamic correlations in multivariate stochastic volatility models

Journal of Econometrics ◽

10.1016/j.jeconom.2008.12.012 ◽

2009 ◽

Vol 150 (2) ◽

pp. 182-192 ◽

Author(s):

Manabu Asai ◽

Michael McAleer

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Dynamic Correlations ◽

Volatility Models ◽

Multivariate Stochastic Volatility

Download Full-text