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    Portfolio single index (PSI) multivariate conditional and stochastic volatility models

    Access Status
    Fulltext not available
    Authors
    Asai, M.
    Mcaleer, M.
    Da Veiga, Bernardo
    Date
    2008
    Type
    Journal Article
    
    Metadata
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    Citation
    Asai, M. and Mcaleer, M. and Da Veiga, B. 2008. Portfolio single index (PSI) multivariate conditional and stochastic volatility models. Mathematics and Computers in Simulation. 78 (2-3): pp. 209-214.
    Source Title
    Mathematics and Computers in Simulation
    DOI
    10.1016/j.matcom.2008.01.014
    ISSN
    0378-4754
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/15800
    Collection
    • Curtin Research Publications
    Abstract

    The paper develops the structure of parsimonious portfolio single index (PSI) multivariate conditional and stochastic constant correlation volatility models, and methods for estimating the underlying parameters. These multivariate estimates of volatility can be used for more accurate portfolio risk management, to enable efficient forecasting of value-at-risk (VaR) thresholds, and to determine optimal Basel Accord capital charges. A parsimonious portfolio single index approach for modelling the conditional and stochastic covariance matrices of a portfolio of assets is developed, and estimation methods for the conditional and stochastic volatility models are discussed.

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