Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069548 | Finance Research Letters | 2015 | 9 Pages |
Abstract
â¢Multivariate stochastic volatility model, with common jumps.â¢Compound binomial process with random discontinuous jumps.â¢Patterns of sudden changes in volatility of emerging markets.â¢Simultaneous modeling of Real and Lira exchange rates.
We introduce a new multivariate stochastic volatility model, based on the presence of a latent common factor with random jumps. The common factor is parameterized as a permanent component using a compound binomial process. This model can capture common jumps in the latent volatilities between markets, with particular relevance in the presence of crises and contagion in emerging markets.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Márcio Poletti Laurini, Roberto Baltieri Mauad,