Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
利用条件不相关分量建模多元波动率
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…