Block Structure Multivariate Stochastic Volatility Models
2009-12-17
Research Paper
pp 1-34.
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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.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
- C51 : Model Construction and Estimation
- C10 : Econometric and Statistical Methods: General
- C32 : Time-Series Models; Dynamic Quantile Regressions
Automatically Extracted Terms
- model
- asset
- sector
- chemical
- table
- volatility
- number
- return
- parameter
- multivariate
- correlation
- estimate
- block
- msv model
- volatility models
- specification
- lehman bros.hdg
- 0.5
- stock
- matrix
