Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2012
large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic … volatility models. The empirical analysis on stock returns on US market shows that 1% and 5 % Value-at-Risk thresholds based on …