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Multivariate Stochastic Volatility with Co-Heteroscedasticity
https://doi.org/10.24545/00001640
https://doi.org/10.24545/0000164068f8301c-f3d7-4977-9419-7c0f5eb9d72a
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DP18-12.pdf (536.1 kB)
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| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2018-10-11 | |||||
| タイトル | ||||||
| タイトル | Multivariate Stochastic Volatility with Co-Heteroscedasticity | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Markov Chain Monte Carlo | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Gibbs Sampling | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Flexible Parametric Model | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Particle Filter | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Co-heteroscedasticity | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | state-space | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | reparameterization | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | alternating-order | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | technical report | |||||
| ID登録 | ||||||
| ID登録 | 10.24545/00001640 | |||||
| ID登録タイプ | JaLC | |||||
| 著者 |
CHAN, Joshua
× CHAN, Joshua× DOUCET, Arnaud× LEON-GONZALEZ, Roberto× STRACHAN, Rodney W. |
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| 著者所属 | ||||||
| 値 | Purdue University | |||||
| 著者所属 | ||||||
| 値 | University of Oxford | |||||
| 著者所属 | ||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies | |||||
| 著者所属 | ||||||
| 値 | University of Queensland | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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. That is, these linear combinations are homoscedastic; a property we call 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 impulse response analysis but is generally important for, e.g., volatility estimation and variance decompositions. 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 alternating-order particle Gibbs that reduces the amount of particles needed for accurate estimation. We provide two empirical applications; one to exchange rate data and another to a large Vector Autoregression (VAR) of US macroeconomic variables. We find strong evidence for co-heteroscedasticity and, in the second application, estimate the impact of monetary policy on the homoscedastic and heteroscedastic components of macroeconomic variables. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | JEL Classification Codes: C11, C15 | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Roberto León-González acknowledges financial support from the Nomura Foundation (BE-004). | |||||
| 発行年 | ||||||
| 値 | 2018-10 | |||||
| 書誌情報 |
en : GRIPS Discussion Papers 巻 DP18-12, 発行日 2018-10-11 |
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| 出版者 | ||||||
| 出版者 | GRIPS Policy Research Center | |||||
| 言語 | en | |||||
| 関連サイト | ||||||
| 関連タイプ | isIdenticalTo | |||||
| 識別子タイプ | URI | |||||
| 関連識別子 | https://ideas.repec.org/p/ngi/dpaper/18-12.html | |||||
| 関連名称 | https://ideas.repec.org/p/ngi/dpaper/18-12.html | |||||
| 著者情報 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/ | |||||
| 内容注記 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Revised to: September, 2020 [20-09] http://doi.org/10.24545/00001766 | http://doi.org/10.24545/00001766 | |||||
| 著者版フラグ | ||||||
| 出版タイプ | AM | |||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||
