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...
| Главные авторы: | , , |
|---|---|
| Формат: | Working paper |
| Опубликовано: |
University of Oxford
2012
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