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

• Material Type: 文書・図像類
• Title: Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
• Author/Editor: McAleer, Michael; Asai, Manabu; Caporin, Massimiliano
• Author Heading: McAleer, Michael; Asai, Manabu; Caporin, Massimiliano
• Publication, Distribution, etc.: Institute of Economic Research, Kyoto University
• Publication Date: 2012-04
• Publication Date (W3CDTF): 2012-04
• Periodical title: KIER Discussion Paper
• No. or year of volume/issue: 812
• Volume: 812
• Text Language Code: eng
• Subject Heading: block structures; multivariate stochastic volatility; curse of dimensionality; leverage effects; multi-factors; heavy-tailed distribution
• NDC: 330
• Target Audience: 一般
• Format (IMT): application/pdf
• Source: DP812.pdf （fulltext）; http://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/154774/1/DP812.pdf
• Access Restrictions: インターネット公開
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 京都大学 : 京都大学学術情報リポジトリ

• Summary, etc.: Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under st...