Block Structure Multivariate Stochastic Volatility Models

Manabu Asai, Massimiliano Caporin and Michael McAleer

No CIRJE-F-699, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: Most multivariate variance models suffer from a common problem, the "curse of dimensionality". For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with milder restrictions, whose purpose was to combine the need for interpretability and efficiency faced by model users with the computational problems that may emerge when the number of assets is quite large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic volatility models.

Pages: 36pages
Date: 2009-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (40)

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Related works:
Working Paper: Block Structure Multivariate Stochastic Volatility Models (2010)
Working Paper: Block Structure Multivariate Stochastic Volatility Models (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2009cf699

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