- Tytuł:
- Estimation of Yu and Meyer bivariate stochastic volatility model by iterated filtering
- Autorzy:
- Szczepocki, Piotr
- Powiązania:
- https://bibliotekanauki.pl/articles/2204278.pdf
- Data publikacji:
- 2023-05-31
- Wydawca:
- Główny Urząd Statystyczny
- Tematy:
-
multivariate stochastic volatility
iterated filtering
particle filters - Opis:
- In financial applications, understanding the asset correlation structure is crucial to tasks such as asset pricing, portfolio optimisation, risk management, and asset allocation. Thus, modelling the volatilities and correlations of multivariate stock market returns is of great importance. This paper proposes the iterated filtering algorithm for estimating the bivariate stochastic volatility model of Yu and Meyer. The iterated filtering method is a frequentist-based approach that utilises particle filters and can be applied to estimating the parameters of non-linear or non-Gaussian state-space models. The paper presents an empirical example that demonstrates the way in which the proposed estimation method might be used to estimate the correlation between the returns of two assets: Standard and Poor's 500 index and the price of gold in US dollars. This is accompanied by a simulation study that proves the validity of the approach.
- Źródło:
-
Przegląd Statystyczny; 2022, 69, 4; 1-19
0033-2372 - Pojawia się w:
- Przegląd Statystyczny
- Dostawca treści:
- Biblioteka Nauki
Artykuł