Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin - Economics Group, Nuffield College, University of Oxford - 2011
This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models dynamics and highlight their di¤erences from multivariate GARCH models. We also discuss their covariance targeting specification and provide closed-form formulas for...