Factor Multivariate Stochastic Volatility via Wishart Processes
By Alexander Philipov, Mark E. Glickman. 2006
58 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/db704bf07307a96b5ae70f793f494df79fc40917
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In Economics and Econometrics
- Michael Mcaleer
- Manabu Asai
- John M. Maheu
- Xin Jin
- Yasuhiro Omori
- Siddhartha Chib
- Jun Yu
- Gregor Kastner
In Finance
- Michael Mcaleer
- Manabu Asai
- John M. Maheu
- Yasuhiro Omori
- Siddhartha Chib
- Xin Jin
- Jun Yu
- Gregor Kastner
Citations in the corpus
- Modeling Realized Covariances and Returns (2013, methodology): “The joint density of returns and realized covariances is decomposed as p(rt,Σt|Λ,Θ, r1:t−1,Σ1:t−1) = p(rt|Λ,Σt)p(Σt|,Θ,Σ1:t−1) (41)”
- The structure of dynamic correlations in multivariate stochastic volatility models (2009, methodology): “As the WIC model proposed in this paper is different from the factor MSV models of Philipov and Glickman (2005, 2006), the sampling scheme estimator will also be different.”
- Continuous Time Wishart Process for Stochastic Risk (2006, background): “In this literature, the stochastic volatility is assumed to follow an inverse Wishart distribution with a scale parameter function of lagged volatility (see Philipov and Glickman, 2006a, for a comparison of such an approach with the DCC model).”
- Sparse Bayesian time-varying covariance estimation in many dimensions (2016, background): “-world example. Concerning factor SV modeling, early key references include Harvey et al. (1994), Pitt and Shephard (1999), and Aguilar and West (2000) which were later picked up and extended by e.g. Philipov and Glickman (2006), Chib et al. (2006), Han (2006), Lopes and Carvalho (2007), Nakajima an”
- Multivariate stochastic volatility (2009, methodology): “Philipov and Glickman (2004a) proposed a high-dimensional additive factor MSV model in which the factor covariance matrices are driven by Wishart random processes, as follows: 1 1 1 1 1/ 2 1 1/ 2 1 1 , ~ (0, ), | ~ (0, ), | , , , ~ ( , ), 1 ( ) ( ) ', t t t t t t t t t t d t t y Df e e N f V N V V…”
- Multivariate Stochastic Volatility: A Review (2006, background): “Philipov and Glickman (2006) estimated a Wishart MSV model.”