Diaa Noureldin

University of Oxford - Department of Economics

Manor Road Building

Manor Road

Oxford, OX1 3UQ

United Kingdom

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Multivariate Rotated ARCH Models

Number of pages: 36 Posted: 19 Feb 2012 Last Revised: 19 Nov 2013
Diaa Noureldin, Neil Shephard and Kevin Sheppard
University of Oxford - Department of Economics, Harvard University and University of Oxford - Department of Economics
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Abstract:

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RARCH; RBEKK; RDCC; multivariate volatility; covariance targeting; common persistence