Λεπτομέρειες βιβλιογραφικής εγγραφής
| Τίτλος: |
On the correlations in linearized multivariate stochastic volatility models. |
| Συγγραφείς: |
Moussa, Karim1,2 (AUTHOR) k.moussa.science@proton.me |
| Πηγή: |
Quantitative Finance. Jul2026, p1-8. 8p. 1 Illustration. |
| Θεματικοί όροι: |
*Statistical correlation, *Distribution (Probability theory), Moments method (Statistics), Linear dynamical systems, Matrices (Mathematics) |
| Περίληψη: |
In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data, taking the logarithm of the squared returns to obtain a linear state space model. A well-known series representation links the correlations between elements of the observation error in the actual and linearized forms of the model. This note derives a closed-form expression for the series and explores its statistical implications. We obtain a moment-based correlation estimator that yields a positive semidefinite correlation matrix for the linearized model, making it suitable for high-dimensional applications. The results are extended to observation errors following scale mixtures of normals, including the multivariate Student's t distribution. [ABSTRACT FROM AUTHOR] |
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| Βάση Δεδομένων: |
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