The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We … forecasting using diffusion indices. Journal of Business and Economic Statistics, 20, 147–162] for the stochastic volatility …

This paper generalizes the basic Wishart multivariate stochastic volatility model of Philipov and Glickman (2006) and … process. The model allows for state-dependent (co)variance and correlation levels and state-dependent volatility spillover …-sample fit and the VaR forecasting performance relative to the basic model. -- Multivariate stochastic volatility ; Dynamic …