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Modelling multivariate volatilities via conditionally uncorrelated components
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, (2008): 679-702
摘要
We propose to model multivariate volatility processes on the basis of the newly defined conditionally uncorrelated components (CUCs). This model represents a parsimonious representation for matrix-valued processes. It is flexible in the sense that each CUC may be fitted separately with any appropriate univariate volatility model. Computat...更多
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