Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2025-03-21
Number: 25-021/V
Author-Name: Karim Moussa
Author-Workplace-Name: Vrije Universiteit Amsterdam and Tinbergen Institute
Title: On the Correlations in Linearized Multivariate Stochastic Volatility Models
Abstract: In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data, taking the logarithm of the squared returns to obtain a linear state space model. A well-known series representation links the correlations between elements of the observation error in the actual and linearized forms of the model. This note derives a closed-form expression for the series and discusses its statistical implications. Additionally, it offers a new interpretation of the correlations in the linearized model.
Classification-JEL:
Keywords:
File-URL: https://papers.tinbergen.nl/25021.pdf
File-Format: application/pdf
File-Size: 441.559 bytes
Handle: RePEc:tin:wpaper:20250021