Modelling Multivariate Return Volatilities by Independent Components Using Johnson SU Likelihood
Published online on October 21, 2024
Abstract
Global Business Review, Ahead of Print.
Time-varying volatility modelling is crucial in financial econometrics. For multivariate data, time-varying correlations across securities are important to explain the co-movement of the data. Therefore, we need to estimate the covariance matrix. ...
Time-varying volatility modelling is crucial in financial econometrics. For multivariate data, time-varying correlations across securities are important to explain the co-movement of the data. Therefore, we need to estimate the covariance matrix. ...