Publication Type

Working Paper

Publication Date

12-2006

Abstract

The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation and evaluation of MSV models. A wide range of MSV models is presented according to various categories, namely (i) asymmetric models; (ii) factor models; (iii) time-varying correlation models; and (iv) alternative MSV specifications, including models based on the matrix exponential transformation, Cholesky decomposition, Wishart autoregressive process, and the empirical range. Alternative methods of estimation, including quasi-maximum likelihood, simulated maximum likelihood, Monte Carlo likelihood, and Markov chain Monte Carlo methods, are discussed and compared. Various methods of diagnostic checking and model comparison are also examined.

Keywords

multivariate stochastic volatility, asymmetry, leverage, thresholds, factor models, time-varying correlations, transformations, estimation, diagnostic checking, model comparison

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

40

Publisher

Singapore Management University

City or Country

Singapore

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Included in

Econometrics Commons

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