Publication Type

Journal Article

Publication Date

3-2006

Abstract

The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last four 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, the Cholesky decomposition, and the Wishart autoregressive process. Alternative methods of estimation, including quasi-maximum likelihood, simulated maximum likelihood, and Markov chain Monte Carlo methods, are discussed and compared. Various methods of diagnostic checking and model comparison are also reviewed.

Keywords

Asymmetry, Diagnostic checking, Estimation, Factor models, Leverage, Model comparison, Multivariate stochastic volatility, Thresholds, Time-varying correlations, Transformations

Discipline

Econometrics

Research Areas

Econometrics

Publication

Econometric Reviews

Volume

25

Issue

2/3

First Page

145

Last Page

175

ISSN

0747-4938

Identifier

10.1080/07474930600713564

Publisher

Taylor and Francis

Embargo Period

2-22-2017

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.

Additional URL

http://doi.org/10.1080/07474930600713564

Included in

Econometrics Commons

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