Modelling multivariate volatilies via conditionally uncorrelated components
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Publication:6475576
DOI10.1111/J.1467-9868.2008.00654.XarXivmath/0506027MaRDI QIDQ6475576
Jianqing Fan, Mingjin Wang, Qiwei Yao
Publication date: 1 June 2005
Abstract: We propose to model multivariate volatility processes based on the newly defined conditionally uncorrelated components (CUCs). This model represents a parsimonious representation for matrix-valued processes. It is flexible in the sense that we may fit each CUC with any appropriate univariate volatility model. Computationally it splits one high-dimensional optimization problem into several lower-dimensional subproblems. Consistency for the estimated CUCs has been established. A bootstrap test is proposed for testing the existence of CUCs. The proposed methodology is illustrated with both simulated and real data sets.
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