volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for … model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … clustering, non-normality (excess kurtosis and asymmetry), and also dynamics in the dependency between assets over time. A fast …

can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics … have a clearly distinct behavior that is, for example, compatible with the well-known leverage effect. …