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Multivariate stochastic volatility, leverage and news impact surfaces

✍ Scribed by Manabu Asai; Michael McAleer

Book ID: 110880118
Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 325 KB
Volume: 12
Category: Article
ISSN: 1368-4221
DOI: 10.1111/j.1368-423x.2009.00284.x

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## Abstract A new multivariate stochastic volatility model is developed in this paper. The main feature of this model is to allow threshold asymmetry in a factor covariance structure. The new model provides a parsimonious characterization of volatility and correlation asymmetry in response to marke