A Multivariate Long Memory Stochastic Volatility model with applications to financial markets
by Kwok Wing Yan Susanna
M.Phil. Information and Systems Management
xi, 120 leaves : ill. ; 30 cm
This thesis develops a new volatility model, Multivariate Long Memory Stochastic Volatility (MLMSV) model, which is able to explain some important features of financial asset volatility: clustering, high persistence and comovements. It is motivated by the findings of an empirical study in which currency and stock market data are analyzed. We discuss statistical properties of the model and propose quasi-maximum likelihood method in estimation. Results of simulation study and real data application confirm the adequacy of our model.
Permanent URL for this record: https://lbezone.hkust.edu.hk/bib/b721601
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