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Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models

Author

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  • Lakshina, Valeriya

    () (Higher School of Economics (Nizhnii Novgorod) Russia)

Abstract

The article is devoted to the estimation of multivariate volatility of a portfolio consisted from twenty American stocks. The six specifications of multivariate volatility models are formulated and estimated. It’s demonstrated that spatial specifications of multivariate volatility models allow not only reduce the dimension of the problem, but in some cases outdo original specifications at in-sample and out-of-sample comparison.

Suggested Citation

  • Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 36(4), pages 61-78.
  • Handle: RePEc:ris:apltrx:0249
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    multivariate volatility models; curse of dimensionality; weight matrix; spatial autoregression; forecasting;

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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