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Dynamic Equicorrelation Stochastic Volatility
http://hdl.handle.net/2261/55625
http://hdl.handle.net/2261/556255bdaf1ba-2849-4e4c-af3e-a4e2e84792c6
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2014-01-16 | |||||
タイトル | ||||||
タイトル | Dynamic Equicorrelation Stochastic Volatility | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Asymmetry | |||||
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 | dynamic equicorrelation | |||||
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 |
Kurose, Yuta
× Kurose, Yuta× Omori, Yasuhiro |
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著者所属 | ||||||
著者所属 | Center for the Study of Finance and Insurance, Osaka University | |||||
著者所属 | ||||||
著者所属 | Faculty of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | A multivariate stochastic volatility model with dynamic equicorrelation and cross leverage effect is proposed and estimated. Using a Bayesian approach, an efficient Markov chain Monte Carlo algorithm is described where we use the multi-move sampler, which generates multiple latent variables simultaneously. Numerical examples are provided to show its sampling efficiency in comparison with the simple algorithm that generates one latent variable at a time given other latent variables. Furthermore, the proposed model is applied to the multivariate daily stock price index data. The empirical study shows that our novel model provides a substantial improvement in forecasting with respect to out-of-sample hedging performances. | |||||
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-907, 発行日 2013-11 |
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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 | |||||
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/2013/2013cf907ab.html |