Ledoit, Olivier; Santa-Clara, Pedro; Wolf, Michael - Anderson Graduate School of Management, University of … - 1999
We develop an estimation method for the Diagonal Multivariate GARCH model. For a vector of size N unidimensional GARCH processes for the diagonal elements of the conditional covariance matrix, and N(N-1)/2 bivariate GARCH processes for the off-diagonal elements of the conditional covariance...
