Multivariate volatility models
Abstract
Correlations 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 for 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.
Cite
@article{arxiv.math/0702815,
title = {Multivariate volatility models},
author = {Ruey S. Tsay},
journal= {arXiv preprint arXiv:math/0702815},
year = {2008}
}
Comments
Published 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)