Multivariate volatility models

Ruey S. Tsay

Papers from arXiv.org

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 $k(k-1)/2$ for $k$ 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.

Date: 2007-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in IMS Lecture Notes Monograph Series 2006, Vol. 52, 210-222

Downloads: (external link)
http://arxiv.org/pdf/math/0702815 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:math/0702815

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().