Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87237
Authors: 
Asai, Manabu
McAleer, Michael
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-003/III
Abstract: 
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform of the AMWSV models. The paper also suggests estimating the AMWSV model by the generalized method of moments using information not only of stock prices but also of realized volatilities and co-volatilities. The empirical results for the bivariate data of the NASDAQ 100 and S&P500 indices show that the general AMWSV model is preferred among several nested models.
Subjects: 
Multivariate Stochastic Volatility
Wishart Process
Leverage Effects
Feedback Effects
Multifactor Model
Option Pricing
JEL: 
C32
C51
G13
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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