Title
Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods
Date Issued
01 May 2021
Access level
metadata only access
Resource Type
journal article
Author(s)
Publisher(s)
Elsevier B.V.
Abstract
The Stochastic Volatility in Mean (SVM) model of Koopman and Uspensky (2002) is revisited. An empirical study of five Latin American indexes in order to see the impact of the volatility in the mean of the returns is performed. Markov Chain Monte Carlo (MCMC) Hamiltonian dynamics is used to estimate latent volatilities and parameters. Our findings show that volatility has a negative impact on returns, indicating that volatility feedback effect is stronger than the effect related to the expected volatility. This result is clear and opposite to the finding of Koopman and Uspensky (2002).
Start page
272
End page
286
Volume
80
Language
English
OCDE Knowledge area
Economía
Econometría
Subjects
Scopus EID
2-s2.0-85101975626
Source
Quarterly Review of Economics and Finance
ISSN of the container
10629769
Sponsor(s)
We would like to thank the Associate Editor (Professor Narjees Boubakri) and two an anonymous referees for their useful comments, which improved the quality of this paper. The first author acknowledges partial financial support from Fundação Carlos Chagas Filho de Amparo à Pesquisa do Estado do Rio de Janeiro ( FAPERJ ).
Sources of information:
Directorio de Producción Científica
Scopus