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econ.EM2024
Factor multivariate stochastic volatility models of high dimension
Benjamin Poignard, Manabu Asai
Building upon factor decomposition to overcome the curse of dimensionality inherent in multivariate volatility processes, we develop a factor model-based multivariate stochastic vo…
econ.EM2022
High-Dimensional Sparse Multivariate Stochastic Volatility Models
Benjamin Poignard, Manabu Asai
Although multivariate stochastic volatility models usually produce more accurate forecasts compared to the MGARCH models, their estimation techniques such as Bayesian MCMC typicall…