N. Ahsan

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...