arXiv 13 Nov 2020 · Econometrics · publishedEconometric Reviews (2023) · 1 citations (OpenAlex)
arXiv:2011.06909 · PDF · DOI · OpenAlex · Extracted main text
In the stochastic volatility models for multivariate daily stock returns, it has been found that the estimates of parameters become unstable as the dimension of returns increases. To solve this problem, we focus on the factor structure of multiple returns and consider two additional sources of information: first, the realized stock index associated with the market factor, and second, the realized covariance matrix calculated from high frequency data. The proposed dynamic factor model with the leverage effect and realized measures is applied to ten of the top stocks composing the exchange traded fund linked with the investment return of the SP500 index and the model is shown to have a stable advantage in portfolio performance.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Yamauchi, Y. and Y. Omori (2019) Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations self | 0.737 | 3 | 2 | 100% |
| 2 | Ishihara, T. and Y. Omori (2017) Portfolio optimization using dynamic factor and stochastic volatility: evidence on fat-tailed error and leverage | 0.644 | 2 | 2 | 100% |
| 3 | Hansen, P. R. and A. Lunde (2005) A forecast comparison of volatility models: does anything beat a garch (1, 1)? | 0.644 | 2 | 2 | 100% |
| 4 | Shephard, N. and M. K. Pitt (1997) Likelihood analysis of non-gaussian measurement time series | 0.511 | 2 | 1 | 100% |
| 5 | Watanabe, T. and Y. Omori (2004) A multi-move sampler for estimating non-gaussian time series models: Comments on shephard & pitt (1997) | 0.511 | 2 | 1 | 100% |
| 6 | Chib, S., F. Nardari, and N. Shephard (2002) Markov chain monte carlo methods for stochastic volatility models | 0.405 | 1 | 1 | 100% |
| 7 | Doornik, J (2007) Object-Oriented Matrix Programming Using Ox, 3rd ed | 0.405 | 1 | 1 | 100% |
| 8 | Durbin, J. and S. J. Koopman (2002) Simple and efficient simulation smoother for state space time series analysis | 0.405 | 1 | 1 | 100% |
| 9 | Epps, T. W (1979) Comovements in stock prices in the very short run | 0.405 | 1 | 1 | 100% |
| 10 | Han, Y (2006) Asset allocation with a high dimensional latent factor stochastic volatility model | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 25 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels | 0.405 | 1 | 1 |