A new class of stochastic covariance models based on Wishart distribution is proposed. Three categories of dynamic correlation models are introduced depending on how the time-varying covariance matrix is formulated and whether or not it is a latent variable. A stochastic covariance filter is...

A new multivariate stochastic volatility model is developed in this paper. The main feature of this model is to allow threshold asymmetry in a factor covariance structure. The new model provides a parsimonious characterization of volatility and correlation asymmetry in response to market news....

To capture mean and variance asymmetries and time-varying volatility in financial time series, we generalize the threshold stochastic volatility (THSV) model and incorporate a heavy-tailed error distribution. Unlike existing stochastic volatility models, this model simultaneously accounts for...