A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates
提出一个简洁的多元模型，利用每日汇率的对数高低价差分解为两种独立潜在因子，对应不同货币的波动成分，并用卡尔曼滤波估计，发现汇率新闻具有货币特异性。
In this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high–low ranges of daily exchange rates. The multivariate stochastic volatility model decomposes the log range of each exchange rate into two independent latent factors, which could be interpreted as the underlying currency specific components. Owing to the empirical normality of the logarithmic range measure the model can be estimated conveniently with the standard Kalman filter methodology. Our results show that our model fits the exchange rate data quite well. Exchange rate news seems to be currency specific and allows identification of currency contributions to both exchange rate levels and exchange rate volatilities.