Portfolio single index (PSI) multivariate conditional and stochastic volatility models
| dc.contributor.author | Asai, M. | |
| dc.contributor.author | Mcaleer, M. | |
| dc.contributor.author | Da Veiga, Bernardo | |
| dc.date.accessioned | 2017-01-30T11:51:58Z | |
| dc.date.available | 2017-01-30T11:51:58Z | |
| dc.date.created | 2015-03-03T20:13:47Z | |
| dc.date.issued | 2008 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/15800 | |
| dc.identifier.doi | 10.1016/j.matcom.2008.01.014 | |
| dc.description.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. | |
| dc.publisher | Elsevier Science | |
| dc.title | Portfolio single index (PSI) multivariate conditional and stochastic volatility models | |
| dc.type | Journal Article | |
| dcterms.source.volume | 78 | |
| dcterms.source.number | 2-3 | |
| dcterms.source.startPage | 209 | |
| dcterms.source.endPage | 214 | |
| dcterms.source.issn | 0378-4754 | |
| dcterms.source.title | Mathematics and Computers in Simulation | |
| curtin.department | School of Economics and Finance | |
| curtin.accessStatus | Fulltext not available |