Multivariate stochastic volatility with large and moderate shocks

Izzeldin, Marwan and Tsionas, Efthymios and Michaelides, Panayotis G. (2019) Multivariate stochastic volatility with large and moderate shocks. Journal of the Royal Statistical Society: Series A Statistics in Society. ISSN 0964-1998

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Abstract

The paper proposes a multivariate stochastic volatility model where shifts in volatility are endogenously driven by large return shocks. The model proposed generalizes the univariate stochastic volatility model of Dendramis and colleagues to a multivariate context. Allowing for multivariate dependence permits the volatility of common return factors to affect individual stock returns volatility jointly. The model is further extended to allow for endogenous thresholds that depend on covariates. Model selection priors are introduced and the new techniques are applied by using data from the FTSE100‐index.

Item Type:
Journal Article
Journal or Publication Title:
Journal of the Royal Statistical Society: Series A Statistics in Society
Additional Information:
This is the peer reviewed version of the following article: Izzeldin, M. , Tsionas, M. G. and Michaelides, P. G. (2019), Multivariate stochastic volatility with large and moderate shocks. J. R. Stat. Soc. A. doi:10.1111/rssa.12443 which has been published in final form at https://rss.onlinelibrary.wiley.com/doi/full/10.1111/rssa.12443 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
132325
Deposited By:
Deposited On:
29 Mar 2019 13:35
Refereed?:
Yes
Published?:
Published
Last Modified:
24 Nov 2020 07:21