Yip, Iris W.H.; So, Mike K.P. - In: Mathematics and Computers in Simulation (MATCOM) 80 (2009) 2, pp. 327-340
Recent developments in multivariate volatility modeling suggest that the conditional correlation matrix can be described by a time series recursion, where the total number of parameters grows by the power-of-two of the dimension of financial returns. The power of two computational requirement...