Report
A Fractionally Integrated Wishart Stochastic Volatility Model
| العنوان: | A Fractionally Integrated Wishart Stochastic Volatility Model |
|---|---|
| المؤلفون: | Asai, Manabu, McAleer, Michael |
| سنة النشر: | 2013 |
| المجموعة: | Universidad Complutense de Madrid (UCM): E-Prints Complutense |
| مصطلحات موضوعية: | C32, C51, G13, Diusion process, Multivariate stochastic volatility, Long memory, Fractional Brownian motion, Generalized Method of Moments, Econometría (Economía), 5302 Econometría |
| الوصف: | The authors are most grateful to Yoshi Baba and Christian Hafner for very helpful comments and suggestions. The 1rst author acknowledges the nancial support of the Japan Ministry of Education, Culture, Sports, Science and Technology, Japan Society for the Promotion of Science, and Australian Academy of Science. The second author is most grateful for the nancial support of the Australian Research Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science. Address for correspondence: Faculty of Economics, Soka University, 1-236 Tangi-cho, Hachioji, Tokyo 192-8577, Japan. ; There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of the FIWSV model in order to obtain a closed form expression of moments. We conduct a two-step procedure, namely estimating the parameter of fractional integration via log-periodgram regression in the rst step, and estimating the remaining parameters via the generalized method of moments in the second step. Monte Carlo results for the procedure shows reasonable performances in nite samples. The empirical results for the bivariate data of the S&P 500 and FTSE 100 indexes show that the data favor the new FIWSV processes rather than one-factor and two-factor models of Wishart autoregressive processes for the covariance structure. ; Instituto Complutense de Análisis Económico ; Fac. de Ciencias Económicas y Empresariales ; FALSE ; unpub |
| نوع الوثيقة: | report |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | http://eprints.ucm.es/18068/; https://www.ucm.es/icae; https://hdl.handle.net/20.500.14352/41453 |
| الاتاحة: | https://hdl.handle.net/20.500.14352/41453 http://eprints.ucm.es/18068/ https://www.ucm.es/icae |
| Rights: | Atribución-NoComercial 3.0 España ; open access ; https://creativecommons.org/licenses/by-nc/3.0/es/ |
| رقم الانضمام: | edsbas.2DBD4C25 |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |