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ArticleAnalysis of high dimensional multivariate stochastic volatility models

Siddhartha Chib2005

Article2005

Analysis of high dimensional multivariate stochastic volatility models

Siddhartha Chib · Federico Nardari · Neil Shephard

345 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Markov Chains and Monte Carlo Methods

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References

2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 2003Modeling and Forecasting Realized Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1988A Capital Asset Pricing Model with Time-Varying Covariances 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1998Evaluating Interval Forecasts 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Cited by

2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY 2009The Wishart Autoregressive process of multivariate stochastic volatility 2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 2004Deviance Information Criterion for Comparing Stochastic Volatility Models 2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets 2008An Economic Evaluation of Empirical Exchange Rate Models

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2006Chapter 15 Volatility and Correlation Forecastingchapter · 24 shared references 2005Volatility Forecastingreport · 22 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 21 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 18 shared references 2005Volatility Transmission Models: A Surveypreprint · 18 shared references 2009Multivariate Stochastic Volatilitychapter · 15 shared references

Details

Year2005

Typearticle

Published2005-08-23

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations345

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2005.06.026

openalex_workW2107335183

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2004Estimation methods for stochastic volatility models: a survey

2005Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model