Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models

Abstract

Most multivariate variance or volatility 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… (More)

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