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Keyword: stochastic volatility;
8 results found.
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Afonso Gonçalves da Silva and Peter M Robinson
Asset returns are frequently assumed to be determined by one or more common factors. We consider a bivariate factor model, where the unobservable common factor and idiosyncratic errors are stationary and serially uncorre...Read more...
Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are inva...Read more...
Peter M Robinson
Much time series data are recorded on economic and financial variables. Statistical modelling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from t...Read more...
A valid asymptotic expansion for the covariance of functions of multivariate normal vectors is applied to approximate autovariances of time series generated by nonlinear transformation of Gaussian latent variates, and no...Read more...
Asset returns have a very complicated dynamic pattern. Yet they display regularity across different assets and periods. We consider a new family of volatility models which account for such patterns, focussing in particul...Read more...
Peter M Robinson and Paolo Zaffaroni
We introduce a nonlinear model of stochastic volatility within the class of ?product type? models. It allows different degrees of dependence for the ?raw? series and for the ?squared? series, for instance implying weak d...Read more...
Andrew C Harvey and Mariane Streibel
A test for the presence of a stationary first-order autoregressive process embedded in white noise is constructed so as to be relatively powerful when the autoregressive parameter is close to one. This is done by setting...Read more...
Changes in variance or volatility over time can be modelled using stochastic volatility (SV) models. This approach is based on treating the variance as an unobservable variable, the logarithm of which is modelled as a li...Read more...