Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
| dc.contributor.author | Asai, M. | |
| dc.contributor.author | Caporin, M. | |
| dc.contributor.author | McAleer, M. | |
| dc.date.accessioned | 2012-03-19T20:50:17Z | |
| dc.date.available | 2012-03-19T20:50:17Z | |
| dc.date.issued | 2012 | en |
| dc.description | RePeC Working Paper Series: 04/12 | en |
| dc.description.abstract | 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. | en |
| dc.identifier.citation | Asai, M., Caporin, M., McAleer, M. (2012) Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. Department of Economics and Finance. 37pp.. | en |
| dc.identifier.uri | http://hdl.handle.net/10092/6439 | |
| dc.language.iso | en | |
| dc.publisher | College of Business and Economics | en |
| dc.publisher | University of Canterbury. Department of Economics and Finance | en |
| dc.relation.uri | http://www.econ.canterbury.ac.nz/RePEc/cbt/econwp/1204.pdf | en |
| dc.rights.uri | https://hdl.handle.net/10092/17651 | en |
| dc.subject | block structures | en |
| dc.subject | multivariate stochastic volatility | en |
| dc.subject | curse of dimensionality | en |
| dc.subject | leverage effects | en |
| dc.subject | multi-factors | en |
| dc.subject | heavy-tailed distribution | en |
| dc.subject.anzsrc | Fields of Research::35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk management | en |
| dc.subject.anzsrc | Fields of Research::38 - Economics::3802 - Econometrics::380202 - Econometric and statistical methods | en |
| dc.title | Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models | en |
| dc.type | Discussion / Working Papers |
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