Discussion Papers 2018
CIRJE-F-1095 | "Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations" |
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Author Name | Yamauchi, Yuta and Yasuhiro Omori |
Date | September 2018 |
Full Paper | |
Remarks | Revised version of CIRJE-F-1029 (2016) and revised as CIRJE-F-1117 (2019); subsequently published as "Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity," Econometrics and Statistics, 13, 46-68. January 2020. DOI:10.1016/j.ecosta.2018.03.003 |
Abstract |
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Although stochastic volatility and GARCH models have been successful to describe the volatility dynamics of univariate asset returns, their natural extension to the multi-variate models with dynamic correlations has been difficult due to several major problems. Firstly, there are too many parameters to estimate if available data are only daily returns, which results in unstable estimates. One solution to this problem is to incorporate additional observations based on intraday asset returns such as realized covariances. However, |