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タイトル: Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
著者: Ishihara, Tsunehiro
Omori, Yasuhiro
著者(別言語): 石原, 庸博
大森, 裕浩
キーワード: Asymmetry
Heavy-tailed error
Leverage effect
Markov chain Monte Carlo
Multi-move sampler
Multivariate stochastic volatility
発行日: 2010年5月
出版者: 日本経済国際共同センター
抄録: An efficient Bayesian estimation using a Markov chain Monte Carlo methodis proposed in the case of a multivariate stochastic volatility model as anatural extension of the univariate stochastic volatility model with leverageand heavy-tailed errors. Note that we further incorporate cross-leverageeffects among stock returns. Our method is based on a multi-move samplerthat samples a block of latent volatility vectors. The method is presentedas a multivariate stochastic volatility model with cross leverage and heavytailederrors. Its high sampling efficiency is shown using numerical examplesin comparison with a single-move sampler that samples one latent volatilityvector at a time, given other latent vectors and parameters. To illustrate themethod, empirical analyses are provided based on five-dimensional S&P500sector indices returns.
URI: http://hdl.handle.net/2261/36136
その他の識別子: CIRJE-F-746
出現カテゴリ:061 ディスカッションペーパー
Discussion Paper F series (in English)


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