Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - Tinbergen Instituut - 2013
Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this …. Recently, the literature has focused on multivariate models with milder restrictions, whose purpose is to combine the need for … very large. We contribute to this strand of the literature by proposing a block-type parameterization for multivariate …