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- W2950589426 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." @default.
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- W2950589426 date "2005-06-02" @default.
- W2950589426 modified "2023-09-27" @default.
- W2950589426 title "Modelling multivariate volatilies via conditionally uncorrelated components" @default.
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