| Item type |
ディスカッションペーパー / Discussion Paper(1) |
| 公開日 |
2020-09-04 |
| タイトル |
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|
タイトル |
Multivariate Stochastic Volatility with Co-Heteroscedasticity |
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言語 |
en |
| 言語 |
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|
言語 |
eng |
| キーワード |
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主題Scheme |
Other |
|
主題 |
Markov Chain Monte Carlo |
| キーワード |
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主題Scheme |
Other |
|
主題 |
Gibbs Sampling |
| キーワード |
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|
主題Scheme |
Other |
|
主題 |
Flexible Parametric Model |
| キーワード |
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|
主題Scheme |
Other |
|
主題 |
Particle Filter |
| キーワード |
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|
主題Scheme |
Other |
|
主題 |
Co-heteroscedasticity |
| キーワード |
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主題Scheme |
Other |
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主題 |
state-space |
| キーワード |
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|
主題Scheme |
Other |
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主題 |
reparameterization |
| キーワード |
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主題Scheme |
Other |
|
主題 |
alternating-order |
| 資源タイプ |
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|
資源タイプ |
technical report |
| ID登録 |
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ID登録 (DOI) |
10.24545/00001766 |
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ID登録タイプ |
JaLC |
| 著者 |
CHAN, Joshua
DOUCET, Arnaud
Leon-Gonzalez, Roberto
STRACHAN, Rodney W.
|
| 著者所属 |
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|
値 |
Purdue University |
| 著者所属 |
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|
値 |
University of Oxford |
| 著者所属 |
|
|
値 |
政策研究大学院大学 / National Graduate Institute for Policy Study |
| 著者所属 |
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|
値 |
University of Queensland |
| 抄録 |
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内容記述タイプ |
Abstract |
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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; 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. |
| 内容記述 |
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内容記述タイプ |
Other |
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内容記述 |
JEL Classification Codes: C11, C15 |
| 内容記述 |
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内容記述タイプ |
Other |
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内容記述 |
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). |
| 内容記述 |
|
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内容記述タイプ |
Other |
|
内容記述 |
Rodney Strachan acknowledges financial support from the GRIPS Policy Research Center for a research visit to GRIPS. |
| 発行年 |
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|
値 |
2020-09 |
| 書誌情報 |
en : GRIPS Discussion Papers
Report No. 20-09,
発行日 2020-09-04
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| 出版者 |
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出版者 |
GRIPS Policy Research Center |
|
言語 |
en |
| 関連サイト |
|
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関連タイプ |
isIdenticalTo |
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|
識別子タイプ |
URI |
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関連識別子 |
https://ideas.repec.org/p/ngi/dpaper/20-09.html |
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|
関連名称 |
https://ideas.repec.org/p/ngi/dpaper/20-09.html |
| 著者情報 |
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内容記述タイプ |
Other |
|
内容記述 |
http://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/ |
| 内容注記 |
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|
内容記述タイプ |
Other |
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内容記述 |
First version: October, 2018 [18-12] http://doi.org/10.24545/00001640 |
| 著者版フラグ |
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出版タイプ |
AM |
|
出版タイプResource |
http://purl.org/coar/version/c_ab4af688f83e57aa |
DP20-09.pdf (555.0 kB)
