The structure of dynamic correlations in multivariate stochastic volatility models

111 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Multivariate stochastic volatility (2009, methodology): “ Asai and McAleer (2007) estimated these models using returns of the Nikkei 225 Index, the Hang Seng Index and the Straits Times Index.”
A Semiparametric Stochastic Volatility Model (2012, unknown): “It isworth pointing out there are several recent studies where alternative asymmetric multivariate SV models have been introduced (Asai and McAleer, 2009).”
Modeling Realized Covariances and Returns (2013, methodology): “p(rt|Λ,Σt) has a density in (5) while p(Σt|Θ,Σ1:t−1) has the density from (6).”
Bayesian semiparametric modeling of realized covariance matrices (2016, background): “Wishart distributions have also been popular in traditional multivariate stochastic volatility models that only use returns (Philipov & Glickman 2006, Asai & McAleer 2009, Fox & West 2011, Lin et al. 2012, Triantafyllopoulos 2012, Asai & So 2013).”
The shifting dependence dynamics between the G7 stock markets (2018, unknown): “Prior studies have mainly measured crossmarket dependence through linear correlation, GARCH-based dynamic correlations (e.g. Asai and McAleer 2009, Colacito et al. 2011, Javed and Virk 2017), copula-based dependence coefficient (e.g. Caillault and Guégan 2005, Huang et al. 2016) and realized…”