Rights statement: This is the peer reviewed version of the following article: Izzeldin, M. , Tsionas, M. G. and Michaelides, P. G. (2019), Multivariate stochastic volatility with large and moderate shocks. J. R. Stat. Soc. A. doi:10.1111/rssa.12443 which has been published in final form at https://rss.onlinelibrary.wiley.com/doi/full/10.1111/rssa.12443 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
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Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Multivariate stochastic volatility with large and moderate shocks
AU - Izzeldin, Marwan
AU - Tsionas, Efthymios
AU - Michaelides, Panayotis G.
N1 - This is the peer reviewed version of the following article: Izzeldin, M. , Tsionas, M. G. and Michaelides, P. G. (2019), Multivariate stochastic volatility with large and moderate shocks. J. R. Stat. Soc. A. doi:10.1111/rssa.12443 which has been published in final form at https://rss.onlinelibrary.wiley.com/doi/full/10.1111/rssa.12443 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
PY - 2019/3/23
Y1 - 2019/3/23
N2 - The paper proposes a multivariate stochastic volatility model where shifts in volatility are endogenously driven by large return shocks. The model proposed generalizes the univariate stochastic volatility model of Dendramis and colleagues to a multivariate context. Allowing for multivariate dependence permits the volatility of common return factors to affect individual stock returns volatility jointly. The model is further extended to allow for endogenous thresholds that depend on covariates. Model selection priors are introduced and the new techniques are applied by using data from the FTSE100‐index.
AB - The paper proposes a multivariate stochastic volatility model where shifts in volatility are endogenously driven by large return shocks. The model proposed generalizes the univariate stochastic volatility model of Dendramis and colleagues to a multivariate context. Allowing for multivariate dependence permits the volatility of common return factors to affect individual stock returns volatility jointly. The model is further extended to allow for endogenous thresholds that depend on covariates. Model selection priors are introduced and the new techniques are applied by using data from the FTSE100‐index.
KW - Bayesian analysis
KW - Large shocks
KW - Multivariate stochastic volatility
KW - Particle filtering
U2 - 10.1111/rssa.12443
DO - 10.1111/rssa.12443
M3 - Journal article
JO - Journal of the Royal Statistical Society: Series A Statistics in Society
JF - Journal of the Royal Statistical Society: Series A Statistics in Society
SN - 0964-1998
ER -