Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models

Valeriya Lakshina ()
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Valeriya Lakshina: Higher School of Economics (Nizhnii Novgorod) Russia

Applied Econometrics, 2014, vol. 36, issue 4, 61-78

Abstract: The article is devoted to the estimation of multivariate volatility of a portfolio consisted from twenty American stocks. The six specifications of multivariate volatility models are formulated and estimated. It’s demonstrated that spatial specifications of multivariate volatility models allow not only reduce the dimension of the problem, but in some cases outdo original specifications at in-sample and out-of-sample comparison.

Keywords: multivariate volatility models; curse of dimensionality; weight matrix; spatial autoregression; forecasting (search for similar items in EconPapers)
JEL-codes: C01 C51 C58 G17 (search for similar items in EconPapers)
Date: 2014
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