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Multivariate Stochastic Volatility Model with Cross Leverage

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Proceedings of COMPSTAT'2010

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Abstract

The Bayesian estimation method using Markov chain Monte Carlo is proposed for a multivariate stochastic volatility model that is a natural extension of the univariate stochastic volatility model with leverage, where we further incorporate cross leverage effects among stock returns.

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Acknowledgement

The authors are grateful to Siddhartha Chib, Mike K P So and Boris Choy, for helpful comments and discussions. This work is supported by the Research Fellowship (DC1) from the Japan Society for the Promotion of Science and the Grants-in-Aid for Scientific Research (A) 21243018 from the Japanese Ministry of Education, Science, Sports, Culture and Technology. The computational results are generated using Ox (Doornik (2006)).

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Authors and Affiliations

  1. Graduate School of Economics, University of Tokyo, 7-3-1 Hongo, Bunkyo-Ku, Tokyo, 113-0033, Japan

    Tsunehiro Ishihara

  2. Faculty of Economics, University of Tokyo, 7-3-1 Hongo, Bunkyo-Ku, Tokyo, 113-0033, Japan

    Yasuhiro Omori

Authors
  1. Tsunehiro Ishihara
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  2. Yasuhiro Omori
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Corresponding author

Correspondence to Yasuhiro Omori .

Editor information

Editors and Affiliations

  1. Centre de Recherche INRIA Paris-Rocquenc, Domaine de Voluceau, Le Chesnay cedex, 78153, France

    Yves Lechevallier

  2. , chaire de statistique appliquée, CNAM, rue Saint Martin 292, Paris, 75003, France

    Gilbert Saporta

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Ishihara, T., Omori, Y. (2010). Multivariate Stochastic Volatility Model with Cross Leverage. In: Lechevallier, Y., Saporta, G. (eds) Proceedings of COMPSTAT'2010. Physica-Verlag HD. https://doi.org/10.1007/978-3-7908-2604-3_29

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