Abstract
The paper introduces the structure of parsimonious Portfolio Single Index (PSI) multivariate conditional and stochastic constant correlation volatility models, and methods for estimation of the underlying parameters. These multivariate estimates of volatility can be used for more accurate portfolio and 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.
Original language | English |
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Title of host publication | MODSIM 2005 International Conference on Modelling and Simulation |
Editors | Zerger, A. Argent, R.M. |
Place of Publication | Australia |
Publisher | Modelling and Simulation Society of Australia and New Zealand Inc. |
Pages | 2288-2295 |
Edition | Melbourne |
ISBN (Print) | 0975840010 |
Publication status | Published - 2005 |
Event | 2005 International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, MODSIM 2005 - Melbourne, Australia Duration: 12 Dec 2005 → 15 Dec 2005 |
Conference
Conference | 2005 International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, MODSIM 2005 |
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Country/Territory | Australia |
City | Melbourne |
Period | 12/12/05 → 15/12/05 |