Block Structure Multivariate Stochastic Volatility Models
Most multivariate variance 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 the need for interpretability and efficiency faced by model users with the computational problems that may emerge when the number of assets is quite large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic volatility models.
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| Length: | 31 pages |
| Date of creation: | 01 May 2010 |
| Handle: | RePEc:cbt:econwp:10/24 |
| Contact details of provider: | Postal: Private Bag 4800, Christchurch, New Zealand Phone: 64 3 369 3123 (Administrator) Fax: 64 3 364 2635 Web page: http://www.econ.canterbury.ac.nz More information through EDIRC
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