Portfolio single index (PSI) multivariate conditional and stochastic volatility models

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Asai, M., Mcaleer, M., Da Veiga, Bernardo
Format:	Journal Article
Published:	Elsevier Science 2008
Online Access:	http://hdl.handle.net/20.500.11937/15800

Similar Items

Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
by: Da Veiga, Bernardo, et al.
Published: (2008)

The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares
by: Chan, Felix, et al.
Published: (2005)

Structure and asymptotic theory for multivariate asymmetric conditional volatility
by: Mcaleer, M., et al.
Published: (2009)

Modelling multivariate international tourism demand and volatility
by: Chan, Felix, et al.
Published: (2005)

Value-at-Risk for country risk ratings
by: Mcaleer, M., et al.
Published: (2011)

It pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds
by: Da Veiga, Bernardo, et al.
Published: (2005)

Managing Value-at-Risk in daily tourist tax revenues for the Maldives
by: Mcaleer, M., et al.
Published: (2008)

Managing daily tourism tax revenue risk for the Maldives
by: Mcaleer, M., et al.
Published: (2009)

Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
by: Da Veiga, Bernardo, et al.
Published: (2008)

It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management?
by: Da Veiga, Bernardo, et al.
Published: (2012)

Forecast accuracy test of stochastic volatility models: traditional models vs Volatility Hang Seng Index
by: Pan, Fangxin
Published: (2013)

Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models
by: Zahid, Mamoona, et al.
Published: (2020)

PENDEKATAN HOLISTIK PSI LANTIK SUKARELAWAN
by: MPRC, Pusat Media & Perhubungan Awam
Published: (2016)

Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
by: Li, S., et al.
Published: (2016)

GPS and PSI integration for monitoring urban land motion
by: Leighton, Jonathan M
Published: (2010)

Nonparametric specification tests for stochastic volatility models based on volatility density
by: Zu, Yang
Published: (2015)

An approximation of a multivariative stochastic model for the analysis of longitudinal data
by: Abu Bakar, Mohd Rizam, et al.
Published: (2008)

Modelling thresholds and volatility in US ecological patents
by: Chan, Felix, et al.
Published: (2005)

Heteroscedastic nonlinear regression by using Tanh Psi function
by: Habshah Mid,
Published: (2000)

Heteroscedastic nonlinear regression by using Tanh psi function
by: Midi, Habshah
Published: (2000)

Profiling the growth conditions and persistent organic pollutants (POPS) tolerance of Phenoliferia glacialis USM-PSY62
by: Ain Nur Afifah Azman,, et al.
Published: (2024)

Multivariate stochastic modeling of plug-in electric vehicles demand profile within domestic grid
by: Pashajavid, Ehsan, et al.
Published: (2014)

A Novel Multivariate Volatility Modeling for Risk Management in Stock Markets
by: Wei, Z., et al.
Published: (2018)

The study of utility valuation of single-name credit derivatives with the fast-scale stochastic volatility correction
by: Liu, S., et al.
Published: (2018)

Bond Portfolio Optimisation using Stochastic Control under Libor Market Model
by: Foong, Dennis Shee Heng
Published: (2016)

Pricing equity warrants with jumps, stochastic volatility, and stochastic interest rates
by: Ibrahim, S. N. I., et al.
Published: (2022)

Carrier based synchronous control and performance analysis of an S-PSI using PV for microgrid applications
by: Rahman, Tawfikur, et al.
Published: (2018)

Option Pricing Model Based on the Stochastic Volatility and Jump Diffusion Process
by: Liu, Xudong
Published: (2014)

Modeling and forecasting volatility of index return: an empirical evidence of FTSE 100 Index
by: ZHU, Lin
Published: (2013)

Performance Of Socially Responsible Investment Portfolio In Indonesia: A Comparison Of Sri Kehati Index And Conventional Index.
by: Ermal M, Eky
Published: (2016)

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
by: Zu, Yang, et al.
Published: (2017)

An econometric analysis of asymmetric volatility: theory and application to patents
by: Chan, Felix, et al.
Published: (2007)

An improvement of stochastic gradient descent approach for mean-variance portfolio optimization problem
by: S. W. Su, Stephanie, et al.
Published: (2021)

A systematic review of the psychological capital (PsyCap) research development: implementation and gaps
by: Burhanuddin, Nur Aimi Nasuha, et al.
Published: (2019)

Pricing holder-extendable options in a stochastic volatility model with an Ornstein-Uhlenbeck process
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2017)

A new approach for istijrar valuation under stochastic volatility
by: Bayram, Kamola, et al.
Published: (2014)

Analysing the effect of portfolio concentration index and stock market correlation
by: Lee, Pei-Ling, et al.
Published: (2019)

Analysing the effect of portfolio concentration index and stock market correlation
by: Lee, Pei Ling, et al.
Published: (2019)

Portfolio risk management based on risk factors of stock market volatility in Korea
by: Lee, Seung Hwan
Published: (2022)

Stochastic modeling of the output power of photovoltaic generators in various weather conditions
by: Batool, M., et al.
Published: (2016)