arXiv subjects

Manabu Asai

Publications and source records attributed to Manabu Asai.

2 recordsLinked to original sources

arXiv2024

Factor multivariate stochastic volatility models of high dimension

Building upon factor decomposition to overcome the curse of dimensionality inherent in multivariate volatility processes, we develop a factor model-based multivariate stochastic volatility (fMSV) framework. We propose a two-stage estimation procedure for the fMSV model: in the first stage, estimators of the factor model are obtained, and in the second stage, the MSV component is estimated using the estimated common factor variables. We derive the asymptotic properties of the estimators, taking into account the estimation of the factor variables. The prediction performances are illustrated by finite-sample simulation experiments and applications to portfolio allocation.

econ.EM↗

arXiv2022

High-Dimensional Sparse Multivariate Stochastic Volatility Models

Although multivariate stochastic volatility models usually produce more accurate forecasts compared to the MGARCH models, their estimation techniques such as Bayesian MCMC typically suffer from the curse of dimensionality. We propose a fast and efficient estimation approach for MSV based on a penalized OLS framework. Specifying the MSV model as a multivariate state space model, we carry out a two-step penalized procedure. We provide the asymptotic properties of the two-step estimator and the oracle property of the first-step estimator when the number of parameters diverges. The performances of our method are illustrated through simulations and financial data.

econ.EM↗