Asai, Manabu; McAleer, Michael; de Veiga, Bernardo - In: Mathematics and Computers in Simulation (MATCOM) 78 (2008) 2, pp. 209-214
The paper develops the structure of parsimonious portfolio single index (PSI) multivariate conditional and stochastic constant correlation volatility models, and methods for estimating the underlying parameters. These multivariate estimates of volatility can be used for more accurate portfolio...