4 papers
Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels
Daichi Hiraki, Siddhartha Chib, Yasuhiro Omori
We develop a dynamic factor stochastic volatility-in-mean (SVM) specification for vector autoregressions (VARs) that embeds an SVM component within a dynamic factor stochastic vola…
Unified Mixture Sampler for State-Space Models: Application to Stochastic Conditional Duration Models
Daichi Hiraki, Yasuhiro Omori
We propose a unified mixture sampler (UMS) that provides a universal estimation framework for nonlinear state-space models with "exp-exp" likelihood kernels. Unlike existing method…
Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting
Makoto Takahashi, Yuta Yamauchi, Toshiaki Watanabe +1
Accurate forecasting of volatility and return quantiles is essential for evaluating financial tail risks such as value-at-risk and expected shortfall. This study proposes an extens…
Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler
Daichi Hiraki, Siddhartha Chib, Yasuhiro Omori
In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture samp…