Gribisch, Bastian (2016). Multivariate Wishart stochastic volatility and changes in regime. AStA-Adv. Stat. Anal., 100 (4). S. 443 - 474. NEW YORK: SPRINGER. ISSN 1863-818X
Full text not available from this repository.Abstract
This paper generalizes the basic Wishart multivariate stochastic volatility model of Philipov and Glickman (J Bus Econ Stat 24:313-328, 2006) and Asai and McAleer (J Econom 150:182-192, 2009) to encompass regime-switching behavior. The latent state variable is driven by a first-order Markov process. The model allows for state-dependent (co)variance and correlation levels and state-dependent volatility spillover effects. Parameter estimates are obtained using Bayesian Markov Chain Monte Carlo procedures and filtered estimates of the latent variances and covariances are generated by particle filter techniques. The model is applied to five European stock index return series. The results show that the proposed regime-switching specification substantially improves the fit to persistent covariance dynamics relative to the basic model.
Item Type: | Journal Article | ||||||||
Creators: |
|
||||||||
URN: | urn:nbn:de:hbz:38-260724 | ||||||||
DOI: | 10.1007/s10182-016-0269-9 | ||||||||
Journal or Publication Title: | AStA-Adv. Stat. Anal. | ||||||||
Volume: | 100 | ||||||||
Number: | 4 | ||||||||
Page Range: | S. 443 - 474 | ||||||||
Date: | 2016 | ||||||||
Publisher: | SPRINGER | ||||||||
Place of Publication: | NEW YORK | ||||||||
ISSN: | 1863-818X | ||||||||
Language: | English | ||||||||
Faculty: | Unspecified | ||||||||
Divisions: | Unspecified | ||||||||
Subjects: | no entry | ||||||||
Uncontrolled Keywords: |
|
||||||||
Refereed: | Yes | ||||||||
URI: | http://kups.ub.uni-koeln.de/id/eprint/26072 |
Downloads
Downloads per month over past year
Altmetric
Export
Actions (login required)
View Item |