TY - JOUR
T1 - Portfolio single index (PSI) multivariate conditional and stochastic volatility models
AU - Asai, M.
AU - Mcaleer, Michael
AU - Da Veiga, B.
PY - 2008
Y1 - 2008
N2 - 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. (C) 2008 IMACS. Published by Elsevier B.V. All rights reserved.
AB - 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. (C) 2008 IMACS. Published by Elsevier B.V. All rights reserved.
U2 - 10.1016/j.matcom.2008.01.014
DO - 10.1016/j.matcom.2008.01.014
M3 - Article
VL - 78
SP - 209
EP - 214
JO - Mathematics and Computers in Simulation
JF - Mathematics and Computers in Simulation
SN - 0378-4754
ER -