Modelling multivariate volatilies via conditionally uncorrelated components

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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.
37 pages, 8 figures

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Statistics Theory, 62H12

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http://salesiana.dossiersoluciones.com/handle/123456789/130786

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0506027
 http://arxiv.org/abs/math/0506027

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arXiv