Multivariate Stochastic Volatility Model with Cross Leverage

Tsunehiro Ishihara and Yasuhiro Omori ()
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Tsunehiro Ishihara: University of Tokyo, Graduate School of Economics
Yasuhiro Omori: University of Tokyo, Faculty of Economics

A chapter in Proceedings of COMPSTAT'2010, 2010, pp 315-323 from Springer

Abstract: Abstract The Bayesian estimation method using Markov chain Monte Carlo is proposed for a multivariate stochastic volatility model that is a natural extension of the univariate stochastic volatility model with leverage, where we further incorporate cross leverage effects among stock returns.

Keywords: asymmetry; Bayesian analysis; leverage effect; Markov chain Monte Carlo; multi-move sampler; multivariate stochastic volatility; stock returns (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2604-3_29

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DOI: 10.1007/978-3-7908-2604-3_29

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