Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate »
Series: IMF Working Papers
Author(s): Marcos Souto , and Theodore Barnhill
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 December 2007
Keywords: stochastic volatility, fat-tail distributions, Monte Carlo estimation, covariances, time series, probability, probabilities, multivariate stochastic volatility,
Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is pos...