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Matrix Exponential Stochastic Volatility with Cross Leverage
http://hdl.handle.net/2261/55628
http://hdl.handle.net/2261/556288352d654-cb09-4070-993a-09a250da9d19
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
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 | Dynamic correlation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | 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 |
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著者所属 | ||||||
著者所属 | Department of Economics, Hitotsubashi University | |||||
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 the dynamic correlation and the cross leverage effect is described and its efficient estimation method using Markov chain Monte Carlo is proposed. The time-varying covariance matrices are guaranteed to be positive definite by using a matrix exponential transformation. Of particular interest is our approach for sampling a set of latent matrix logarithm variables from their conditional posterior distribution, where we construct the proposal density based on an approximating linear Gaussian state space model. The proposed model and its extended models with fat-tailed error distribution are applied to trivariate returns data (daily stocks, bonds, and exchange rates) of Japan. Further, a model comparison is conducted including constant correlation multivariate stochastic volatility models with leverage. | |||||
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-904, 発行日 2013-09 |
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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/2013/2013cf904ab.html | |||||
置換する | ||||||
関連タイプ | replaces | |||||
識別子タイプ | URI | |||||
関連識別子 | http://hdl.handle.net/2261/50197 |