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- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-epub-296877
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.29687
Alternative Links zum Volltext:Repec
Zusammenfassung
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 ...
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