TY  - RPRT
AU  - Asai, Manabu
AU  - Caporin, Massimiliano
AU  - McAleer, Michael
PY  - 2012
UR  - https://hdl.handle.net/20.500.14352/49062
AB  - Most multivariate variance or volatility 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,...
LA  - eng
KW  - Block structures
KW  - Multivariate stochastic volatility
KW  - Curse of dimensionality
KW  - Leverage effects
KW  - Multi-factors
KW  - Heavy-tailed distribution.
TI  - Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
TY  - technical report
VL  - 2012
ER  -