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Modelling multivariate volatilities: an ad hoc method

World Scientific
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  • Ha Statistics
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Microsoft Word - Cover- Modelling multivariate volatilities.doc Mingjin Wang and Qiwei Yao Modelling multivariate volatilities: an ad hoc method Book section Original citation: Originally published in Fan, Jianqing and Li, Gang, (eds.) Contemporary multivariate analysis and experimental designs: in celebration of professor Kai-Tai Fang's 65th birthday. World Scientific : Singapore, pp. 87-97. © 2005 World Scientific Publishing This version available at: Available in LSE Research Online: March 2009 LSE has developed LSE Research Online so that users may access research output of the School. Copyright © and Moral Rights for the papers on this site are retained by the individual authors and/or other copyright owners. Users may download and/or print one copy of any article(s) in LSE Research Online to facilitate their private study or for non-commercial research. You may not engage in further distribution of the material or use it for any profit-making activities or any commercial gain. You may freely distribute the URL ( of the LSE Research Online website. This document is the author’s submitted version of the book section. There may be differences between this version and the published version. You are advised to consult the publisher’s version if you wish to cite from it. MODELLING MULTIVARIATE VOLATILITIES: AN AD HOC METHOD MINGJIN WANG AND QIWEI YAO Department of Statistics, London School of Economics and Political Science Houghton Street, London, WC2A 2AE, UK E-mail: [email protected] and [email protected] Department of Business Statistics and Econometrics Guanghua School of Management, Peking University 100871, Beijing, China The goal of the paper is two-fold. We first survey the available methods for mod- elling multivariate volatility processes. We then propose a new and simple method with numerical illustration. 1 Introduction Volatility plays an important role

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