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Matrix Exponential Stochastic Volatility with Cross Leverage
http://hdl.handle.net/2261/50197
http://hdl.handle.net/2261/501970b891904-161a-4810-921f-f7412e394988
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Matrix Exponential Stochastic Volatility with Cross Leverage | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Asymmetry | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Dynamic correlation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Cross leverage effect | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Matrix exponential | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Markov chain Monte Carlo | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Multi-move sampler | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Multivariate stochastic volatility | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Ishihara, Tsunehiro
× Ishihara, Tsunehiro× Omori, Yasuhiro× Asai, Manabu |
|||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Faculty of Economics, University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Faculty of Economics, Soka University | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | A multivariate stochastic volatility model with dynamic correlation and leverage effect is described and estimated. The matrix exponential transformation is used to keep the time-varying covariance matrices positive definite. An efficient Bayesian estimation method using Markov chain Monte Carlo is proposed. Of particular interest is our approach for sampling the latent state variables from the conditional posterior distribution, using a blocked multi-move Metropolis-Hastings sampling, in which the proposal density is derived from an approximating linear Gaussian state space model. The proposed model is applied to the daily stock price index, the Japanese bond price index, and the Yen/USD exchange rate returns data. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-812, 発行日 2011-08 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2011/2011cf812ab.html |