Multivariate rotated ARCH models

Multivariate rotated ARCH models

Taispeáin leaganacha eile (1)

This paper introduces a new class of multivariate volatility models which is easy to estimate using covariance targeting, even with rich dynamics. We call them rotated ARCH (RARCH) models. The basic structure is to rotate the returns and then to fit them using a BEKK-type parameterization of the tim...

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Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Noureldin, D, Shephard, N, Sheppard, K
Formáid:	Working paper
Foilsithe / Cruthaithe:	University of Oxford 2012

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