Template-Type: ReDIF-Paper 1.0
Author-Name: Asai, M.
Author-Name-Last: Asai
Author-Name-First: Manabu
Author-Person: pas73
Author-Name: Caporin, M.
Author-Name-Last: Caporin
Author-Name-First: Massimiliano
Author-Person: pca441
Title: Block Structure Multivariate Stochastic Volatility Models
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.
Creation-Date: 2009-12-17
File-URL: https://repub.eur.nl/pub/17523/EI2009-51.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2009-51
Classification-JEL: C10, C32, C51
Keywords: block structures, curse of dimensionality, multivariate stochastic volatility
Handle: RePEc:ems:eureir:17523