Asai, Manabu; Caporin, Massimiliano - Faculteit der Economische Wetenschappen, Erasmus … - 2009
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 …