Cholesky realized stochastic volatility model

Página do item simplificado
dc.contributor.authorShirota, Shinichiro
dc.contributor.authorOmori, Yasuhiro
dc.contributor.authorHEDIBERT FREITAS LOPES
dc.contributor.authorPiao, Haixiang
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisNão Informadopt_BR
dc.creatorShirota, Shinichiro
dc.creatorOmori, Yasuhiro
dc.creatorPiao, Haixiang
dc.date.accessioned2022-08-20T15:46:04Z
dc.date.available2022-08-20T15:46:04Z
dc.date.issued2016
dc.description.otherMultivariate stochastic volatility models with leverage are expected to play important roles in financial applications such as asset allocation and risk management. However, these models suffer from two major difficulties: (1) there are too many parameters to estimate by using only daily asset returns and (2) estimated covariance matrices are not guaranteed to be positive definite. Our approach takes advantage of realized covariances to achieve the efficient estimation of parameters by incorporating additional information for the co-volatilities, and considers Cholesky decomposition to guarantee the positive definiteness of the covariance matrices. In this framework, a flexible model is proposed for stylized facts of financial markets, such as dynamic correlations and leverage effects among volatilities. By using the Bayesian approach, Markov Chain Monte Carlo implementation is described with a simple but efficient sampling scheme. Our model is applied to the data of nine U.S. stock returns, and it is compared with other models on the basis of portfolio performances.pt_BR
dc.format.extentp. 34-59pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.1016/j.ecosta.2016.08.003pt_BR
dc.identifier.issn24523062pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4068
dc.identifier.volume3pt_BR
dc.language.isoInglêspt_BR
dc.publisherElsevierpt_BR
dc.relation.isboundProdução vinculada ao Núcleo de Ciências de Dados e Decisão
dc.relation.ispartofEconometrics and Statisticspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsCholesky stochastic volatility modelpt_BR
dc.subject.keywordsDynamic correlationspt_BR
dc.subject.keywordsLeverage effectpt_BR
dc.subject.keywordsMarkov chain Monte Carlopt_BR
dc.subject.keywordsRealized covariancespt_BR
dc.titleCholesky realized stochastic volatility modelpt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://www.sciencedirect.com/science/article/pii/S2452306216300181
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
relation.isAuthorOfPublication.latestForDiscovery41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca

Arquivos

Pacote original

Agora exibindo 1 - 2 de 2
N/D
Nome:
R_Artigo_2017_Cholesky realized stochastic volatility model_TC.pdf
Tamanho:
4.41 MB
Formato:
Adobe Portable Document Format
Descrição:
R_Artigo_2017_Cholesky realized stochastic volatility model_TC
Baixar
Imagem de Miniatura
Nome:
Acesso_Primeira Pagina_Cholesky realized stochastic volatility model.pdf
Tamanho:
193.13 KB
Formato:
Adobe Portable Document Format
Baixar

Licença do pacote

Agora exibindo 1 - 1 de 1
N/D
Nome:
license.txt
Tamanho:
282 B
Formato:
Item-specific license agreed upon to submission
Descrição:
Baixar

Coleções

Coleção de Artigos Acadêmicos