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Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models

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Asai, Manabu y Caporin, Massimiliano y McAleer, Michael (2012) Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 03, 2012, ] (Presentado)

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URL Oficial: http://eprints.ucm.es/14621/


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Resumen

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, 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. The empirical analysis on stock returns on US market shows that 1% and 5 % Value-at-Risk thresholds based on one-step-ahead forecasts of covariances by the new specification are satisfactory for the period includes the global financial crisis.


Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Block structures, Multivariate stochastic volatility, Curse of dimensionality, Leverage effects; Multi-factors, Heavy-tailed distribution.
Materias:Ciencias Sociales > Economía > Econometría
JEL:C32, C51, C10
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2012
Número:03
Código ID:14621
Depositado:05 Mar 2012 12:27
Última Modificación:17 Jun 2016 09:34

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