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Abstract Details
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Activity Number:
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669
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Type:
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Contributed
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Date/Time:
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Thursday, August 4, 2011 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #303102 |
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Title:
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Identication Problem in the Multivariate Stochastic Volatility Model with Dynamic Correlations
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Author(s):
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Ye Liu*+
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Companies:
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North Carolina State University
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Address:
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Department of Statistics, Raleigh, NC, 27695,
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Keywords:
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Multivariate Stochastic Volatility ;
Dynamic Correlation ;
Identification
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Abstract:
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Asai and McAleer (2009) proposed a Multivariate Stochastic Volatility (MSV) Model with dynamic correlations. We find that one component of this model, the intertemporal sensitivity parameter matrix, is not completely identified. We show that the likelihood function of this MSV model is invariant with respect to the scale of this parameter matrix. When the scale is measured by trace, we prove that the posterior distribution of the scale is unaffected by observations and sample size. Consequently, the trace of the intertemporal sensitivity parameter matrix is unidentified.
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Authors who are presenting talks have a * after their name.
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