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econ.EM2024
Realized Stochastic Volatility Models with Skew-t Distributions for Volatility and Tail Risk Forecasting
Makoto Takahashi, Yuta Yamauchi, Toshiaki Watanabe +1
Accurate forecasting of volatility is essential for financial risk management and for the evaluation of tail risk measures such as value-at-risk (VaR) and expected shortfall (ES).…
econ.EM2020
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yuta Yamauchi, Yasuhiro Omori
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.…
econ.EM2018
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations
Yuta Yamauchi, Yasuhiro Omori
Although stochastic volatility and GARCH (generalized autoregressive conditional heteroscedasticity) models have successfully described the volatility dynamics of univariate asset…