{"created":"2023-06-20T15:03:38.536373+00:00","id":1778,"links":{},"metadata":{"_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":["1:106"]},"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. ","creatorNameLang":"en"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_access","filename":"DP20-09.pdf","filesize":[{"value":"555.0 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DP20-09.pdf","url":"https://grips.repo.nii.ac.jp/record/1778/files/DP20-09.pdf"},"version_id":"1cb677e5-929e-4a55-9e6c-a69988211653"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Markov Chain Monte Carlo","subitem_subject_scheme":"Other"},{"subitem_subject":"Gibbs Sampling","subitem_subject_scheme":"Other"},{"subitem_subject":"Flexible Parametric Model","subitem_subject_scheme":"Other"},{"subitem_subject":"Particle Filter","subitem_subject_scheme":"Other"},{"subitem_subject":"Co-heteroscedasticity","subitem_subject_scheme":"Other"},{"subitem_subject":"state-space","subitem_subject_scheme":"Other"},{"subitem_subject":"reparameterization","subitem_subject_scheme":"Other"},{"subitem_subject":"alternating-order","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report"}]},"item_title":"Multivariate Stochastic Volatility with Co-Heteroscedasticity","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Multivariate Stochastic Volatility with Co-Heteroscedasticity","subitem_title_language":"en"}]},"item_type_id":"12","owner":"16","path":["106"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2020-09-04"},"publish_date":"2020-09-04","publish_status":"0","recid":"1778","relation_version_is_last":true,"title":["Multivariate Stochastic Volatility with Co-Heteroscedasticity"],"weko_creator_id":"16","weko_shared_id":-1},"updated":"2023-11-20T08:42:41.771132+00:00"}