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