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Christian-Albrechts-Universität Kiel (CAU) >
Department of Economics, Universität Kiel >
Economics Working Papers, Department of Economics, CAU Kiel >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/66205
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Gribisch, Bastian | | en_US |
| dc.date.accessioned | | 2012-11-15 | | en_US |
| dc.date.accessioned | | 2012-11-16T10:16:25Z | | - |
| dc.date.available | | 2012-11-16T10:16:25Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/66205 | | - |
| dc.description.abstract | | This paper generalizes the basic Wishart multivariate stochastic volatility model of Philipov and Glickman (2006) and Asai and McAleer (2009) to encompass regime switching behavior. The latent state variable is driven by a first-order Markov process. The model allows for state-dependent (co)variance and correlation levels and state-dependent volatility spillover effects. Parameter estimates are obtained using Bayesian Markov Chain Monte Carlo procedures and filtered estimates of the latent variances and covariances are generated by particle filter techniques. The model is applied to five European stock index return series. The results show that the proposed regime-switching specification substantially improves the in-sample fit and the VaR forecasting performance relative to the basic model. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., Dep. of Economics Kiel | | en_US |
| dc.relation.ispartofseries | | Economics Working Paper, Christian-Albrechts-Universität Kiel, Department of Economics 2012-14 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | C58 | | en_US |
| dc.subject.jel | | G17 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Multivariate stochastic volatility | | en_US |
| dc.subject.keyword | | Dynamic correlations | | en_US |
| dc.subject.keyword | | Wishart distribution | | en_US |
| dc.subject.keyword | | Markov switching | | en_US |
| dc.subject.keyword | | Markov chain Monte Carlo | | en_US |
| dc.title | | Multivariate wishart stochastic volatility and changes in regime | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 729892808 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:cauewp:201214 | | - |
| Appears in Collections: | | Economics Working Papers, Department of Economics, CAU Kiel
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