Finance & Financial Econometrics : 
Time: 11.00 am
Date: 28th of March 2023
Room 3001

Benjamin POIGNARD (Osaka University) – “Factor multivariate stochastic volatility models”

Abstract :Factor modelling provides a pertinent compromise between parsimony and flexibility when specifying the co-movements of high-dimensional random vectors. We accommodate a factor structure on multivariate stochastic volatility (MSV) models to handle vectors of high dimension. In this so-called factor MSV (fMSV) model, the factor structure is estimated under the sparse approximate factor assumption and under the sparse assumption on the factor loading matrix. The estimation procedure of the dynamics of the log-volatilities relies on the state-space specification. Based on simulated and real data experiments, the in-sample and out-of-sample forecasting performances of our procedure are compared with some competing MGARCH-based models.

Organizers:

Jean-Michel ZAKOIAN (CREST)

Sponsors:
CREST