Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/62918 
Autor:innen: 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Working Paper No. 581
Verlag: 
Queen Mary University of London, Department of Economics, London
Zusammenfassung: 
This paper is an empirical study of Asian stock volatility using stochastic volatility factor (SVF) model of Cipollini and Kapetanios (2005). We adopt their approach to carry out factor analysis and to forecast volatility. Our results show some Asian factors exhibit long memory that is in line with existing empirical findings in financial volatility. However, their local-factor SVF model is not powerful enough in forecasting Asian volatility. This has led us to propose an extension to a multi-factor SVF model. We also discuss how to produce forecast using this multi-factor model.
Schlagwörter: 
Stochastic volatility, Local-factor model, Multi-factor model, Principal components, Forecasting
JEL: 
C32
C33
C53
G15
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
731.57 kB





Publikationen in EconStor sind urheberrechtlich geschützt.