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...
| Những tác giả chính: | , , |
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| Định dạng: | Working paper |
| Được phát hành: |
University of Oxford
2012
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