Proximity-Structured Multivariate Volatility Models
Work
Year: 2013
Type: article
Abstract: In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension, hence creating a curse of dimensionality problem. This paper discusses specification... more
Source: Econometric Reviews
Authors Massimiliano Caporin, Paolo Paruolo
Institutions University of Padua, Joint Research Centre
Cites: 52
Cited by: 26
Related to: 10
FWCI: 1.317
Citation percentile (by year/subfield): 92.08
Subfield: Finance
Domain: Social Sciences
Open Access status: green