A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries

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dc.authoridOzturk, Serda Selin/0000-0003-2758-9321
dc.contributor.authorOzturk, Serda S.
dc.contributor.authorStengos, Thanasis
dc.date.accessioned2024-07-18T20:47:31Z
dc.date.available2024-07-18T20:47:31Z
dc.date.issued2017
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractWe estimate a multivariate stochastic volatility model for a panel of stock returns for a number of S&P 500 firms from different industries. To directly compare our results with those from the univariate estimation literature on the same data, we use an efficient importance sampling (EIS) method to estimate the likelihood function of the given multivariate system that we analyze. As opposed to univariate methods where each return is estimated separately for each firm, our results are based on joint estimation that can account for potential common error term interactions based on industry characteristics that cannot be detected by univariate methods. Our results reveal that there are important differences in the industry effects, something that suggests that differential gains to portfolio allocations in the different industries that we examine. There are differences because of idiosyncratic factors and the common industry factors that suggest that each industry requires a separate treatment in arriving at portfolio allocations.en_US
dc.identifier.doi10.1111/irfi.12111
dc.identifier.endpage490en_US
dc.identifier.issn1369-412X
dc.identifier.issn1468-2443
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85008440662en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage479en_US
dc.identifier.urihttps://doi.org/10.1111/irfi.12111
dc.identifier.urihttps://hdl.handle.net/11411/7831
dc.identifier.volume17en_US
dc.identifier.wosWOS:000409109100008en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherWileyen_US
dc.relation.ispartofInternational Review of Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectDynamic Factor Modelsen_US
dc.subjectVarianceen_US
dc.titleA Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries
dc.typeArticle

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