Portfolio single index (PSI) multivariate conditional and stochastic volatility models
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 risk...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier Science
2008
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| Online Access: | http://hdl.handle.net/20.500.11937/15800 |
| _version_ | 1848748991870664704 |
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| author | Asai, M. Mcaleer, M. Da Veiga, Bernardo |
| author_facet | Asai, M. Mcaleer, M. Da Veiga, Bernardo |
| author_sort | Asai, M. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 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. |
| first_indexed | 2025-11-14T07:13:50Z |
| format | Journal Article |
| id | curtin-20.500.11937-15800 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:13:50Z |
| publishDate | 2008 |
| publisher | Elsevier Science |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-158002017-09-13T14:07:14Z Portfolio single index (PSI) multivariate conditional and stochastic volatility models Asai, M. Mcaleer, M. Da Veiga, Bernardo 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 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. 2008 Journal Article http://hdl.handle.net/20.500.11937/15800 10.1016/j.matcom.2008.01.014 Elsevier Science restricted |
| spellingShingle | Asai, M. Mcaleer, M. Da Veiga, Bernardo Portfolio single index (PSI) multivariate conditional and stochastic volatility models |
| title | Portfolio single index (PSI) multivariate conditional and stochastic volatility models |
| title_full | Portfolio single index (PSI) multivariate conditional and stochastic volatility models |
| title_fullStr | Portfolio single index (PSI) multivariate conditional and stochastic volatility models |
| title_full_unstemmed | Portfolio single index (PSI) multivariate conditional and stochastic volatility models |
| title_short | Portfolio single index (PSI) multivariate conditional and stochastic volatility models |
| title_sort | portfolio single index (psi) multivariate conditional and stochastic volatility models |
| url | http://hdl.handle.net/20.500.11937/15800 |