Harvey, Ruiz, Shephard(1994) MV Stochastic Volatil

[TomDoan]

This provides replication files for Harvey, Ruiz and Shephard(1994), "Multivariate Stochastic Variance Models", Review of Economic Studies, vol 61, no. 2, pp 247-264. This uses state-space approximations for the log squared returns, extending the techniques used in univariate models to a multivariate setting. In their model, the log variances evolve as individual random walks, but with a correlated increment and a correlated measurement error.

univariate.rpf

Univariate models

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multivariate.rpf

Multivariate models

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xrates.xls

Data file

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