dc.contributor.author | Raknerud, Arvid | |
dc.contributor.author | Skare, Øivind | |
dc.date.accessioned | 2010-11-11T11:37:51Z | |
dc.date.available | 2010-11-11T11:37:51Z | |
dc.date.issued | 2010 | |
dc.identifier.issn | 0809-733X | |
dc.identifier.uri | http://hdl.handle.net/11250/179963 | |
dc.description.abstract | This paper extends the ordinary quasi-likelihood estimator for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck (OU) processes to vector processes. Despite the fact that multivariate modeling of asset returns is essential for portfolio optimization and risk management -- major areas of financial analysis -- the literature on multivariate modeling of asset prices in continuous time is sparse, both with regard to theoretical and applied results. This paper uses non-Gaussian OU-processes as building blocks for multivariate models for high frequency financial data. The OU framework allows exact discrete time transition equations that can be represented on a linear state space form. We show that a computationally feasible quasi-likelihood function can be constructed by means of the Kalman filter also in the case of high-dimensional vector processes. The framework is applied to Euro/NOK and US Dollar/NOK exchange rate data for the period 2.1.1989-4.2.2010. | en_US |
dc.description.sponsorship | Financial support from the Norwegian Research Council ("Finansmarkedsfondet") is gratefully acknowledged. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Statistics Norway, Research Department | en_US |
dc.relation.ispartofseries | Discussion Papers;614 | |
dc.subject | Multivariate stochastic volatility | en_US |
dc.subject | Exchange rates | en_US |
dc.subject | Ornstein-Uhlenbeck processes | en_US |
dc.subject | Statistical methods | en_US |
dc.subject | Statistical methodology | en_US |
dc.subject | Estimation | en_US |
dc.subject | Økonometri | en_US |
dc.subject | Valutakurser | en_US |
dc.subject | Multivariat-analyse | en_US |
dc.subject | Sannsynlighetsfordeling | en_US |
dc.subject | JEL classification: C13 | en_US |
dc.subject | JEL classification: C22 | en_US |
dc.subject | JEL classification: C51 | en_US |
dc.subject | JEL classification: G10 | en_US |
dc.title | Multivariate stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes : a quasi-likelihood approach | en_US |
dc.type | Working paper | en_US |
dc.subject.nsi | VDP::Mathematics and natural science: 400::Mathematics: 410 | en_US |
dc.subject.nsi | VDP::Social science: 200::Economics: 210 | en_US |
dc.subject.nsi | VDP::Mathematics and natural science: 400::Mathematics: 410::Statistics: 412 | en_US |
dc.source.pagenumber | 35 | en_US |