2009
DOI: 10.2139/ssrn.1406419
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Massimiliano Caporin,
Paolo Paruolo

Abstract: In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension, hence creating a curse of dimensionality problem. This paper discusses specification and identification of structured parameterizations based on weight matrices induced by economic proximity. It is shown that structured specifications can mitigate or even solve the curse of dimensionality problem. Identification and estimation of structured specifications are analyzed, rank and order conditions f…

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