Portfolio Single Index (PSI) Multivariate Volatility Models

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

    Research output: Chapter in Book/Conference paperConference paperpeer-review

    1 Citation (Scopus)

    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 languageEnglish
    Title of host publicationMODSIM 2005 International Conference on Modelling and Simulation
    Editors Zerger, A. Argent, R.M.
    Place of PublicationAustralia
    PublisherModelling and Simulation Society of Australia and New Zealand Inc.
    Pages2288-2295
    EditionMelbourne
    ISBN (Print)0975840010
    Publication statusPublished - 2005
    Event2005 International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, MODSIM 2005 - Melbourne, Australia
    Duration: 12 Dec 200515 Dec 2005

    Conference

    Conference2005 International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, MODSIM 2005
    Country/TerritoryAustralia
    CityMelbourne
    Period12/12/0515/12/05

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