{"_buckets": {"deposit": "50fc532e-f45c-4fd1-81ca-d92cdb76fc56"}, "_deposit": {"created_by": 16, "id": "1778", "owners": [16], "pid": {"revision_id": 0, "type": "depid", "value": "1778"}, "status": "published"}, "_oai": {"id": "oai:grips.repo.nii.ac.jp:00001778", "sets": ["106"]}, "author_link": [], "item_12_description_22": {"attribute_name": "著者情報", "attribute_value_mlt": [{"subitem_description": "http://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/ ", "subitem_description_type": "Other"}]}, "item_12_description_25": {"attribute_name": "内容注記", "attribute_value_mlt": [{"subitem_description": "First version: October, 2018 [18-12] http://doi.org/10.24545/00001640", "subitem_description_type": "Other"}]}, "item_12_description_6": {"attribute_name": "抄録", "attribute_value_mlt": [{"subitem_description": "This paper develops a new methodology that decomposes shocks into homoscedastic and heteroscedastic components. This specification implies there exist linear combinations of heteroscedastic variables that eliminate heteroscedasticity; a property known as co-heteroscedasticity. The heteroscedastic part of the model uses a multivariate stochastic volatility inverse Wishart process. The resulting model is invariant to the ordering of the variables, which we show is important for volatility estimation. By incorporating testable co-heteroscedasticity restrictions, the specification allows estimation in moderately high-dimensions. The computational strategy uses a novel particle filter algorithm, a reparameterization that substantially improves algorithmic convergence and an alternatingorder particle Gibbs that reduces the amount of particles needed for accurate estimation. We provide an empirical application to a large Vector Autoregression (VAR), in which we find strong evidence for co-heteroscedasticity and that the new method compares favorably to previous ones in terms of forecasting from horizon 3 onward. A Monte Carlo experiment illustrates that the new method estimates well the characteristics of approximate factor models with heteroscedastic errors.", "subitem_description_type": "Abstract"}]}, "item_12_description_7": {"attribute_name": "内容記述", "attribute_value_mlt": [{"subitem_description": "JEL Classification Codes: C11, C15", "subitem_description_type": "Other"}, {"subitem_description": "Roberto Leon-Gonzalez acknowledges financial support from the GRIPS Policy Research Center under the grant \"Multivariate Stochastic Volatility with Partial Homoscedasticity\", from the Nomura Foundation (BE-004) and from JSPS (category C, 19K01588). ", "subitem_description_type": "Other"}, {"subitem_description": "Rodney Strachan acknowledges financial support from the GRIPS Policy Research Center for a research visit to GRIPS.", "subitem_description_type": "Other"}]}, "item_12_identifier_registration": {"attribute_name": "ID登録", "attribute_value_mlt": [{"subitem_identifier_reg_text": "10.24545/00001766", "subitem_identifier_reg_type": "JaLC"}]}, "item_12_publisher_12": {"attribute_name": "出版者", "attribute_value_mlt": [{"subitem_publisher": "GRIPS Policy Research Center", "subitem_publisher_language": "en"}]}, "item_12_relation_16": {"attribute_name": "関連サイト", "attribute_value_mlt": [{"subitem_relation_name": [{"subitem_relation_name_text": "https://ideas.repec.org/p/ngi/dpaper/20-09.html"}], "subitem_relation_type": "isIdenticalTo", "subitem_relation_type_id": {"subitem_relation_type_id_text": "https://ideas.repec.org/p/ngi/dpaper/20-09.html", "subitem_relation_type_select": "URI"}}]}, "item_12_text_10": {"attribute_name": "発行年", "attribute_value_mlt": [{"subitem_text_value": "2020-09"}]}, "item_12_text_5": {"attribute_name": "著者所属", "attribute_value_mlt": [{"subitem_text_value": "Purdue University"}, {"subitem_text_value": "University of Oxford"}, {"subitem_text_value": "政策研究大学院大学 / National Graduate Institute for Policy Study"}, {"subitem_text_value": "University of Queensland"}]}, "item_12_version_type_19": {"attribute_name": "著者版フラグ", "attribute_value_mlt": [{"subitem_version_resource": "http://purl.org/coar/version/c_ab4af688f83e57aa", "subitem_version_type": "AM"}]}, "item_1693541285410": {"attribute_name": "書誌情報", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2020-09-04", "bibliographicIssueDateType": "Issued"}, "bibliographicVolumeNumber": "20-09", "bibliographic_titles": [{"bibliographic_title": "GRIPS Discussion Papers", "bibliographic_titleLang": "en"}]}]}, "item_creator": {"attribute_name": "著者", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "CHAN, Joshua", "creatorNameLang": "en"}]}, {"creatorNames": [{"creatorName": "DOUCET, Arnaud", "creatorNameLang": "en"}]}, {"creatorNames": [{"creatorName": "Leon-Gonzalez, Roberto", "creatorNameLang": "en"}]}, {"creatorNames": [{"creatorName": "STRACHAN, Rodney W. 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Multivariate Stochastic Volatility with Co-Heteroscedasticity
https://doi.org/10.24545/00001766
https://doi.org/10.24545/00001766