{"id":"https://openalex.org/W2926369060","doi":"https://doi.org/10.1007/978-3-7908-2604-3_29","title":"Multivariate Stochastic Volatility Model with Cross Leverage","display_name":"Multivariate Stochastic Volatility Model with Cross Leverage","publication_year":2010,"publication_date":"2010-01-01","ids":{"openalex":"https://openalex.org/W2926369060","doi":"https://doi.org/10.1007/978-3-7908-2604-3_29","mag":"2926369060"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-7908-2604-3_29","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-7908-2604-3_29","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of COMPSTAT'2010","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5053835204","display_name":"Tsunehiro Ishihara","orcid":"https://orcid.org/0000-0002-3795-9034"},"institutions":[{"id":"https://openalex.org/I74801974","display_name":"The University of Tokyo","ror":"https://ror.org/057zh3y96","country_code":"JP","type":"education","lineage":["https://openalex.org/I74801974"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Tsunehiro Ishihara","raw_affiliation_strings":["Graduate School of Economics, University of Tokyo, 7-3-1 Hongo, Bunkyo-Ku, Tokyo, 113-0033, Japan"],"affiliations":[{"raw_affiliation_string":"Graduate School of Economics, University of Tokyo, 7-3-1 Hongo, Bunkyo-Ku, Tokyo, 113-0033, Japan","institution_ids":["https://openalex.org/I74801974"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060705594","display_name":"Yasuhiro Omori","orcid":"https://orcid.org/0000-0002-7896-6177"},"institutions":[{"id":"https://openalex.org/I74801974","display_name":"The University of Tokyo","ror":"https://ror.org/057zh3y96","country_code":"JP","type":"education","lineage":["https://openalex.org/I74801974"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Yasuhiro Omori","raw_affiliation_strings":["Faculty of Economics, University of Tokyo, 7-3-1 Hongo, Bunkyo-Ku, Tokyo, 113-0033, Japan"],"affiliations":[{"raw_affiliation_string":"Faculty of Economics, University of Tokyo, 7-3-1 Hongo, Bunkyo-Ku, Tokyo, 113-0033, Japan","institution_ids":["https://openalex.org/I74801974"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5060705594"],"corresponding_institution_ids":["https://openalex.org/I74801974"],"apc_list":null,"apc_paid":null,"fwci":0.5955,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.85503964,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"315","last_page":"323"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9943000078201294,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9919000267982483,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.8851759433746338},{"id":"https://openalex.org/keywords/univariate","display_name":"Univariate","score":0.6982470750808716},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6928703188896179},{"id":"https://openalex.org/keywords/constant-elasticity-of-variance-model","display_name":"Constant elasticity of variance model","score":0.692151665687561},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.6364405155181885},{"id":"https://openalex.org/keywords/leverage","display_name":"Leverage (statistics)","score":0.5922507047653198},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.5845486521720886},{"id":"https://openalex.org/keywords/leverage-effect","display_name":"Leverage effect","score":0.5626623034477234},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.5013072490692139},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4899732172489166},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.44548383355140686},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.38844379782676697},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.3781861364841461},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3280848562717438},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.29815757274627686},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.25498679280281067}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.8851759433746338},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.6982470750808716},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6928703188896179},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.692151665687561},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.6364405155181885},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.5922507047653198},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.5845486521720886},{"id":"https://openalex.org/C2985497776","wikidata":"https://www.wikidata.org/wiki/Q1148384","display_name":"Leverage effect","level":4,"score":0.5626623034477234},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.5013072490692139},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4899732172489166},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.44548383355140686},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.38844379782676697},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.3781861364841461},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3280848562717438},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.29815757274627686},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.25498679280281067}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-7908-2604-3_29","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-7908-2604-3_29","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of COMPSTAT'2010","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W612781266","https://openalex.org/W1549260104","https://openalex.org/W1566395535","https://openalex.org/W1812949503","https://openalex.org/W1991716021","https://openalex.org/W1994823593","https://openalex.org/W2025262040","https://openalex.org/W2032666264","https://openalex.org/W2034906991","https://openalex.org/W2038726394","https://openalex.org/W2045411880","https://openalex.org/W2055647384","https://openalex.org/W2078421912","https://openalex.org/W2107335183","https://openalex.org/W2119835637","https://openalex.org/W2150018836","https://openalex.org/W2152135597","https://openalex.org/W3122870494","https://openalex.org/W4388319747"],"related_works":["https://openalex.org/W2013221838","https://openalex.org/W3093796783","https://openalex.org/W3123155432","https://openalex.org/W4301670871","https://openalex.org/W2171409856","https://openalex.org/W2926369060","https://openalex.org/W3121418096","https://openalex.org/W3023966465","https://openalex.org/W3121394185","https://openalex.org/W1529262764"],"abstract_inverted_index":{"The":[0],"Bayesian":[1],"estimation":[2],"method":[3],"using":[4],"Markov":[5],"chain":[6],"Monte":[7],"Carlo":[8],"is":[9,18],"proposed":[10],"for":[11],"a":[12,19],"multivariate":[13],"stochastic":[14,25],"volatility":[15,26],"model":[16,27],"that":[17],"natural":[20],"extension":[21],"of":[22],"the":[23],"univariate":[24],"with":[28],"leverage,":[29],"where":[30],"we":[31],"further":[32],"incorporate":[33],"cross":[34],"leverage":[35],"effects":[36],"among":[37],"stock":[38],"returns.":[39]},"counts_by_year":[{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}