Multivariate rotated ARCH models

Multivariate rotated ARCH models

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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...

書目詳細資料
Main Authors:	Noureldin, D, Shephard, N, Sheppard, K
格式:	Working paper
出版:	University of Oxford 2012

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