Block Structure Multivariate Stochastic Volatility Models
نویسندگان
چکیده
منابع مشابه
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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1524667