Multivariate volatility models

Simple item page
dc.creatorTsay, Ruey S.
dc.date2007-02-27
dc.date.accessioned2026-07-07T12:07:22Z
dc.date.available2026-07-07T12:07:22Z
dc.descriptionCorrelations between asset returns are important in many financial applications. In recent years, multivariate volatility models have been used to describe the time-varying feature of the correlations. However, the curse of dimensionality quickly becomes an issue as the number of correlations is $k(k-1)/2$ for $k$ assets. In this paper, we review some of the commonly used models for multivariate volatility and propose a simple approach that is parsimonious and satisfies the positive definite constraints of the time-varying correlation matrix. Real examples are used to demonstrate the proposed model.
dc.descriptionPublished at http://dx.doi.org/10.1214/074921706000001058 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0702815
dc.identifierhttp://arxiv.org/abs/math/0702815
dc.identifierIMS Lecture Notes Monograph Series 2006, Vol. 52, 210-222
dc.identifierdoi:10.1214/074921706000001058
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208949
dc.subjectStatistics Theory
dc.subjectStatistical Finance
dc.subject62M10 (Primary) 62M20 (Secondary)
dc.titleMultivariate volatility models
dc.typetext

Files

Collections

arXiv