Matrix Box-Cox Models for Multivariate Realized Volatility

URN to cite this document:: urn:nbn:de:bvb:355-epub-296877
DOI to cite this document:: 10.5283/epub.29687

Weigand, Roland

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Date of publication of this fulltext: 24 Mar 2014 10:42

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Abstract

We propose flexible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed individually and modeled ...