Hardle, Wolfgang; Herwartz, Helmut; Spokoiny, Vladimir - In: Journal of Financial Econometrics 1 (2003) 1, pp. 55-95
Price variations at speculative markets exhibit positive autocorrelation and cross correlation. Due to large parameter spaces necessary for joint modeling of variances and covariances, multivariate parametric volatility models become easily intractable in practice. We propose an adaptive...