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A Multivariate Long Memory Stochastic Volatility model with applications to financial markets

Authors Kwok, Susanna Wing Yan
Issue Date 2001
Summary This thesis develops a new volatility model, Multivariate Long Memory Stochastic Volatility (MLMSV) model, which is able to explain some important features of financial asset volatility: clustering, high persistence and comovements. It is motivated by the findings of an empirical study in which currency and stock market data are analyzed. We discuss statistical properties of the model and propose quasi-maximum likelihood method in estimation. Results of simulation study and real data application confirm the adequacy of our model.
Note Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2001
Language English
Format Thesis
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