Template-type: ReDIF-Paper 1.0
Author-Name: Manabu Asai
Author-Email: m-asai@soka.ac.jp
Author-Person: pas73
Author-Workplace-Name: Faculty of Economics, Soka University, Japan and Wharton School, University of Pennsylvania
Author-Workplace-Homepage: https://www.soka.ac.jp/economics/
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Title: A Fractionally Integrated Wishart Stochastic Volatility Model
Abstract: There has recently been growing interest in modeling and estimating alternative continuous time 
	multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart 
	stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of the FIWSV model in 
	order to obtain a closed form expression of moments. We conduct a two-step procedure, namely estimating 
	the parameter of fractional integration via log-periodgram regression in the rst step, and estimating the 
	remaining parameters via the generalized method of moments in the second step. Monte Carlo results for 
	the procedure shows reasonable performances in nite samples. The empirical results for the bivariate data 
	of the S&P 500 and FTSE 100 indexes show that the data favor the new FIWSV processes rather than one-factor 
	and two-factor models of Wishart autoregressive processes for the covariance structure.
Classification-JEL: C32, C51, G13.
Keywords: Difusion process; Multivariate stochastic volatility; Long memory; Fractional Brownian motion; 
	Generalized Method of Moments.
Note: The authors are most grateful to Yoshi Baba and Christian Hafner for very helpful comments and suggestions. 
	The 1rst author acknowledges the nancial support of the Japan Ministry of Education, Culture, Sports, 
	Science and Technology, Japan Society for the Promotion of Science, and Australian Academy of Science. 
	The second author is most grateful for the nancial support of the Australian Research Council, National 
	Science Council, Taiwan, and the Japan Society for the Promotion of Science. Address for correspondence: 
	Faculty of Economics, Soka University, 1-236 Tangi-cho, Hachioji, Tokyo 192-8577, Japan. 
Length: 29 pages 
Creation-Date: 2013
Number: 2013-07 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1307.txt
File-URL: https://eprints.ucm.es/id/eprint/18068/1/1307.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1307