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Jean-Marie Dufour

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Case report Open access Oct 2026

Practical estimation methods for high-dimensional multivariate stochastic volatility models

We propose computationally inexpensive and efficient estimators for multivariate stochastic volatility (MSV) mod- els with cross-dependence, Granger causality, and higher-order persistence in latent volatilities. The proposed class of estimators is based on a small set of moment equations derived from the weak VARMA re...

N. Ahsan, Jean-Marie Dufour · 1 citation