Particle filters for inference of high-dimensional multivariate stochastic volatility models with cross-leverage effects

Yaxian Xu;  ; Ajay Jasra

doi:10.3934/fods.2019003

Particle filters for inference of high-dimensional multivariate stochastic volatility models with cross-leverage effects

Foundations of Data Science ◽

10.3934/fods.2019003 ◽

2019 ◽

Vol 0 (0) ◽

pp. 0-0

Author(s):

Yaxian Xu ◽

◽

Ajay Jasra

Keyword(s):

Stochastic Volatility ◽

Particle Filters ◽

High Dimensional ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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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

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Analysis of high dimensional multivariate stochastic volatility models

Journal of Econometrics ◽

10.1016/j.jeconom.2005.06.026 ◽

2006 ◽

Vol 134 (2) ◽

pp. 341-371 ◽

Cited By ~ 151

Author(s):

Siddhartha Chib ◽

Federico Nardari ◽

Neil Shephard

Keyword(s):

Stochastic Volatility ◽

High Dimensional ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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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

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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

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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

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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

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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 ◽

Cited By ~ 7

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

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Multivariate Stochastic Volatility Models

Handbook of Volatility Models and Their Applications ◽

10.1002/9781118272039.ch7 ◽

2012 ◽

pp. 175-197 ◽

Cited By ~ 4

Author(s):

Yasuhiro Omori ◽

Tsunehiro Ishihara

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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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 ◽

Cited By ~ 1

Author(s):

M. Hakan Eratalay

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Monte Carlo Study ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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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