Multivariate rotated ARCH models
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...
Үндсэн зохиолчид: | Noureldin, D, Shephard, N, Sheppard, K |
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Формат: | Working paper |
Хэвлэсэн: |
University of Oxford
2012
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Ижил төстэй зүйлс
Ижил төстэй зүйлс
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