Modelling multivariate volatilities via conditionally uncorrelated components

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 70, Issue 4, 2008, Pages 679-702

  Fan, Jianqing ^a,b   Wang, Mingjin ^c   Yao, Qiwei ^b,c  

^a PRINCETON UNIVERSITY   (United States)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c PEKING UNIVERSITY   (China)

Author keywords

Bootstrap test; Causality in variance; Dimension reduction; Extended GARCH(1,1) model; Financial returns; Portfolio volatility; Quasi maximum likelihood estimator; Time series

Indexed keywords

EID: 47649088233     PISSN: 13697412     EISSN: 14679868     Source Type: Journal    
DOI: 10.1111/j.1467-9868.2008.00654.x     Document Type: Article

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