Portfolio Single Index (PSI) Multivariate Volatility Models

M. Asai; Michael Mcaleer; B.S.A. Da Veiga

Portfolio Single Index (PSI) Multivariate Volatility Models

M. Asai, Michael Mcaleer, B.S.A. Da Veiga

Research output: Chapter in Book/Conference paper › Conference paper › peer-review

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
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
Country/Territory	Australia
City	Melbourne
Period	12/12/05 → 15/12/05

Cite this

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title = "Portfolio Single Index (PSI) Multivariate Volatility Models",

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.",

author = "M. Asai and Michael Mcaleer and {Da Veiga}, B.S.A.",

year = "2005",

language = "English",

isbn = "0975840010",

pages = "2288--2295",

editor = "Zerger and A. Argent and R.M.",

booktitle = "MODSIM 2005 International Conference on Modelling and Simulation",

publisher = "Modelling and Simulation Society of Australia and New Zealand Inc.",

edition = "Melbourne",

note = "2005 International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, MODSIM 2005 ; Conference date: 12-12-2005 Through 15-12-2005",

}

Asai, M, Mcaleer, M & Da Veiga, BSA 2005, Portfolio Single Index (PSI) Multivariate Volatility Models. in Zerger, A Argent & R.M. (eds), MODSIM 2005 International Conference on Modelling and Simulation. Melbourne edn, 86473, Modelling and Simulation Society of Australia and New Zealand Inc., Australia, pp. 2288-2295, 2005 International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, MODSIM 2005, Melbourne, Australia, 12/12/05.

Portfolio Single Index (PSI) Multivariate Volatility Models. / Asai, M.; Mcaleer, Michael; Da Veiga, B.S.A.
MODSIM 2005 International Conference on Modelling and Simulation. ed. / Zerger; A. Argent; R.M. Melbourne. ed. Australia: Modelling and Simulation Society of Australia and New Zealand Inc., 2005. p. 2288-2295 86473.

Research output: Chapter in Book/Conference paper › Conference paper › peer-review

TY - GEN

T1 - Portfolio Single Index (PSI) Multivariate Volatility Models

AU - Asai, M.

AU - Mcaleer, Michael

AU - Da Veiga, B.S.A.

PY - 2005

Y1 - 2005

N2 - 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.

AB - 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.

M3 - Conference paper

SN - 0975840010

SP - 2288

EP - 2295

BT - MODSIM 2005 International Conference on Modelling and Simulation

A2 - Zerger, null

A2 - Argent, A.

A2 - R.M., null

PB - Modelling and Simulation Society of Australia and New Zealand Inc.

CY - Australia

T2 - 2005 International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, MODSIM 2005

Y2 - 12 December 2005 through 15 December 2005

ER -

Portfolio Single Index (PSI) Multivariate Volatility Models

Abstract

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