Proposes fMSV framework using factor decomposition, two-stage estimation, and derived asymptotics for high-dimensional multivariate stochastic volatility, tested via simulations and portfolio applications.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
econ.EM 1years
2024 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Factor multivariate stochastic volatility models of high dimension
Proposes fMSV framework using factor decomposition, two-stage estimation, and derived asymptotics for high-dimensional multivariate stochastic volatility, tested via simulations and portfolio applications.