Selected article for: "dynamic model and stochastic model"
Author: So, Mike K.P.; Choi, C.Y.
Title: A multivariate threshold stochastic volatility model
  • Cord-id: 8k22red9
  • Document date: 2008_12_1
    • ID: 8k22red9
    Snippet: We introduce in this paper a multivariate threshold stochastic volatility model for multiple financial return time series. This model allows the dynamic structure of return and volatility to change according to a threshold model while accounting for the interdependence of financial returns. Through the threshold volatility modeling, we can understand the impact of market news on volatility asymmetry. Estimation of unknown parameters are carried out using Markov chain Monte Carlo techniques. Simu
    Document: We introduce in this paper a multivariate threshold stochastic volatility model for multiple financial return time series. This model allows the dynamic structure of return and volatility to change according to a threshold model while accounting for the interdependence of financial returns. Through the threshold volatility modeling, we can understand the impact of market news on volatility asymmetry. Estimation of unknown parameters are carried out using Markov chain Monte Carlo techniques. Simulations show that our estimators are reliable in moderately large sample sizes. We apply the model to three market indice data and estimate time-varying correlations among the indice returns.

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