Modelling multivariate volatilities via conditionally uncorrelated components

  title={Modelling multivariate volatilities via conditionally uncorrelated components},
  author={Jianqing Fan and Mingjin Wang and Qiwei Yao},
  journal={Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
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 estimated CUCs has been… 
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