RePEcEconometrics & Forecasting
Practical estimation methods for high-dimensional multivariate stochastic volatility models
Proposes computationally efficient estimators for multivariate stochastic volatility models using moment equations and shrinkage methods, avoiding numerical optimization while maintaining reliability.
Featured in No. 139 on 13 Nov 2026 · 11 days after release
- Released
- 2 Nov 2026
- First featured
- No. 139 · 13 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 1 of 5
- Identifier
- RePEc:cir:cirwor:2026s-20
- Authors
- MD Nazmul Ahsan and Jean-Marie Dufour
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).