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- W4207070341 abstract "Chapter Nine extends the volatility models to the multivariate case. In particular, it introduces volatility models with time-varying correlations by using Cholesky decomposition to ensure the positive definiteness of conditional covariance matrix. A procedure is used to build multivariate GARCH models. Both multivariate normal and t distributions are discussed. The examples show that the correlations between asset returns are higher during volatile periods, providing empirical evidence of contagion in volatility." @default.
- W4207070341 created "2022-01-26" @default.
- W4207070341 date "2002-01-11" @default.
- W4207070341 modified "2023-09-28" @default.
- W4207070341 title "Multivariate Volatility Models and Their Applications" @default.
- W4207070341 doi "https://doi.org/10.1002/0471264105.ch9" @default.
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