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| Author: | Johansson, A.C. |
| Title: | Stochastic volatility and time-varying country risk in emerging markets |
| Journal: | European Journal of Finance
2009 : APR-JUN, VOL. 15:3-4, p. 337-363 |
| Index terms: | beta factor multivariate analysis Markov chains Monte Carlo technique emerging markets stock markets models |
| Language: | eng |
| Abstract: | The paper applies a new multivariate stochastic volatility (SV) model to a set of emerging stock markets and uses a Bayesian Markov chain Monte Carlo simulation procedure. The author shows the following: i. The new model performs well relative to alternative multivariate SV models and compute the conditional betas for the different markets and compare the results with an often-used procedure based on multivariate GARCH models. ii. The new multivariate SV model more accurately captures the time-varying nature of country risk. The results suggests an alternative method to estimate time-varying country risk. |
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