Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2010
Most multivariate variance models suffer from a common problem, the “curse of dimensionality”. For this reason, most …, the literature has focused on multivariate models with milder restrictions, whose purpose was to combine the need for … large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic …