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Título:
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A Fractionally Integrated Wishart Stochastic Volatility Model
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Autores:
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Asai, Manabu ;
McAleer, Michael
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Tipo de documento:
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texto impreso
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Fecha de publicación:
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2013-01
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = No publicado
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Materia = Ciencias Sociales: Economía: Econometría
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of the FIWSV model in order to obtain a closed form expression of moments. We conduct a two-step procedure, namely estimating the parameter of fractional integration via log-periodgram regression in the rst step, and estimating the remaining parameters via the generalized method of moments in the second step. Monte Carlo results for the procedure shows reasonable performances in nite samples. The empirical results for the bivariate data of the S&P 500 and FTSE 100 indexes show that the data favor the new FIWSV processes rather than one-factor and two-factor models of Wishart autoregressive processes for the covariance structure.
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En línea:
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https://eprints.ucm.es/id/eprint/18068/1/1307.pdf
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