13-073/III - Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models

• Authors
  Manabu Asai, Soka University, Japan; Massimiliano Caporin, University of Padova, Italy; Michael McAleer, Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain, and Kyoto University, Japan
• Publication date
  May 27, 2013

• Keywords
  block structures; multivariate stochastic volatility; curse of dimensionality; leverage effects; multi-factors; heavy-tailed distribution
• JEL
  C32, C51, C10