| EPSRC Reference: |
GR/M41155/01 |
| Title: |
A MULTIVARIATE STOCHASTIC VOLATILITY MODEL |
| Principal Investigator: |
Leonard, Professor T |
| Other Investigators: |
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| Researcher Co-Investigators: |
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| Project Partners: |
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| Department: |
Sch of Mathematics |
| Organisation: |
University of Edinburgh |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
01 April 1999 |
Ends: |
31 July 1999 |
Value (£): |
6,000
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| EPSRC Research Topic Classifications: |
| Statistics & Appl. Probability |
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| EPSRC Industrial Sector Classifications: |
| No relevance to Underpinning Sectors |
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Summary on Grant Application Form |
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It is proposed in this initial 3 1/2 months to derive the mathematics, and set up the applications, in economics, finance and geology for an analysis of new multivariate scholastic volatility models. A limiting case (v(r) ) of the investigator's Laplacian t-approximation will be used to investigate updating formulae and Leonard will write an MCMC computer program. Appropriate special structures for the two unknown covariance matrices in the doubly dynamic model will be discussed. The model will be compared with the Shepherd-Pitt Factor Stochastic Volatility (asset pricing theory) approach. Applications in finance, economics and geology will be considered.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.ed.ac.uk |