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A1234
Title: Dynamic block-equicorrelation, realized stochastic volatility and cross leverage Authors:  Yuta Kurose - University of Tsukuba (Japan) [presenting]
Yasuhiro Omori - University of Tokyo (Japan)
Abstract: Multivariate daily returns and realized measures are simultaneously modeled in multivariate realized stochastic volatility model with dynamic block-equicorrelation and cross leverage effect. Using a state space representation, we propose a Bayesian estimation algorithm implemented by Markov chain Monte Carlo (MCMC) method. With additional information to estimate unobserved variables by using the realized measures, we can obtain an estimation result efficiently by the simple algorithm. Numerical examples are provided and the proposed model is applied to the multivariate daily stock price data.