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Block Structure Multivariate Stochastic Volatility Models
http://hdl.handle.net/2261/32435
http://hdl.handle.net/2261/32435fa78b79a-9dd0-49a9-9568-683cede177ac
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Block Structure Multivariate Stochastic Volatility Models | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | block structures | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | multivariate stochastic volatility | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | curse of dimensionality | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL classifications: C32, C51, C10. | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Asai, Manabu
× Asai, Manabu× Caporin, Massimiliano× McAleer, Michael |
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著者所属 | ||||||
著者所属 | Faculty of Economics Soka University | |||||
著者所属 | ||||||
著者所属 | Department of Economics and Management“Marco Fanno”University of Padova | |||||
著者所属 | ||||||
著者所属 | Econometric Institute Erasmus University Rotterdam Erasmus School of Economics | |||||
著者所属 | ||||||
著者所属 | Tinbergen Institute | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | 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. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-699, 発行日 2009-12 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf699ab.html |