Analysis of Exchange Rates via Multivariate Bayesian Factor Stochastic Volatility Models

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dc.contributor.authorKastner, Gregor
dc.contributor.authorFrühwirth-Schnatter, Sylvia
dc.contributor.authorHEDIBERT FREITAS LOPES
dc.coverage.paisNão Informadopt_BR
dc.creatorKastner, Gregor
dc.creatorFrühwirth-Schnatter, Sylvia
dc.date.accessioned2022-12-15T21:24:21Z
dc.date.available2022-12-15T21:24:21Z
dc.date.issued2014
dc.description.otherMultivariate factor stochastic volatility (SV) models are increasingly used for the analysis of multivariate financial and economic time series because they can capture the volatility dynamics by a small number of latent factors. The main advantage of such a model is its parsimony, as the variances and covariances of a time series vector are governed by a low-dimensional common factor with the components following independent SV models. For high-dimensional problems of this kind, Bayesian MCMC estimation is a very efficient estimation method; however, it is associated with a considerable computational burden when the dimensionality of the data is moderate to large. To overcome this, we avoid the usual forward-filtering backward-sampling (FFBS) algorithm by sampling “all without a loop” (AWOL), consider various reparameterizations such as (partial) noncentering, and apply an ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation at a univariate level, which can be applied directly to heteroskedasticity estimation for latent variables such as factors. To show the effectiveness of our approach, we apply the model to a vector of daily exchange rate data.pt_BR
dc.format.extentp .181–185pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.isbn9783320000000pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4988
dc.identifier.volume63pt_BR
dc.language.isoInglêspt_BR
dc.publisherSpringer, Champt_BR
dc.relation.ispartofseriesSpringer Proceedings in Mathematics & Statisticspt_BR
dc.relation.isreferencedbyThe Contribution of Young Researchers to Bayesian 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 EDITORpt_BR
dc.subject.keywordsStochastic Volatilitypt_BR
dc.subject.keywordsAsset Returnpt_BR
dc.subject.keywordsCapital Asset Price Modelpt_BR
dc.subject.keywordsStochastic Volatility Modelpt_BR
dc.subject.keywordsMultivariate Factorpt_BR
dc.titleAnalysis of Exchange Rates via Multivariate Bayesian Factor Stochastic Volatility Modelspt_BR
dc.typebook part
dspace.entity.typePublication
local.identifier.sourceUrihttps://doi.org/10.1007/978-3-319-02084-6_35
local.subject.cnpqCiências Exatas e da Terrapt_BR
local.typeCapítulo de Livropt_BR
relation.isAuthorOfPublication41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
relation.isAuthorOfPublication.latestForDiscovery41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
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