Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
结合已实现波动率与成对已实现相关系数的多元随机波动率模型
Although stochastic volatility and GARCH (generalized autoregressive conditional heteroscedasticity) models have successfully described the volatility dynamics of univariate asset returns, extending them to the multivariate models with dynamic correlations has been difficult due to several major problems. First, there are too many parameters to estimate if available data are only daily returns, which results in unstable estimates. One solution to this problem is to…