Multivariate Stochastic Volatility: A Review

DOI Web Site 被引用文献16件 オープンアクセス
  • Manabu Asai
    a Faculty of Economics , Soka University , Tokyo , Japan
  • Michael McAleer
    b School of Economics and Commerce, University of Western Australia , Perth , Australia
  • Jun Yu
    c School of Economics and Social Sciences, Singapore Management University , Singapore

書誌事項

公開日
2006-09
DOI
  • 10.1080/07474930600713564
公開者
Informa UK Limited

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説明

The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation, and evaluation of MSV models. A wide range of MSV models is presented according to various categories, namely, (i) asymmetric models, (ii) factor models, (iii) time-varying correlation models, and (iv) alternative MSV specifications, including models based on the matrix exponential transformation, the Cholesky decomposition, and the Wishart autoregressive process. Alternative methods of estimation, including quasi-maximum likelihood, simulated maximum likelihood, and Markov chain Monte Carlo methods, are discussed and compared. Various methods of diagnostic checking and model comparison are also reviewed.

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