Block Structure Multivariate Stochastic Volatility Models
Year of publication: |
2009-12-17
|
---|---|
Authors: | Asai, M. ; Caporin, M. |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | block structures | multivariate stochastic volatility | curse of dimensionality |
Extent: | application/pdf |
---|---|
Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 2009-51 |
Source: |
-
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu, (2013)
-
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu, (2013)
-
Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu, (2009)
- More ...
-
Asymmetry and leverage in realized volatility
Asai, M., (2008)
-
Modelling and Forecasting Noisy Realized Volatility
Asai, M., (2011)
-
Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH
Caporin, M., (2010)
- More ...