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• W2006875428 abstract "Summary We propose to model multivariate volatility processes on the basis of the newly defined conditionally uncorrelated components (CUCs). This model represents a parsimonious representation for matrix-valued processes. It is flexible in the sense that each CUC may be fitted separately 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 method is proposed for testing the existence of CUCs. The methodology proposed is illustrated with both simulated and real data sets." @default.
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• W2006875428 date "2008-05-12" @default.
• W2006875428 modified "2023-10-16" @default.
• W2006875428 title "Modelling Multivariate Volatilities via Conditionally Uncorrelated Components" @default.
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• W2006875428 doi "https://doi.org/10.1111/j.1467-9868.2008.00654.x" @default.
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