Model Free Inference on Multivariate Time Series with Conditional Correlations
New results on volatility modeling and forecasting are presented based on the NoVaS transformation approach. Our main contribution is that we extend the NoVaS methodology to modeling and forecasting conditional correlation, thus allowing NoVaS to work in a multivariate setting as well. We present ex...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-11-01
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| Series: | Stats |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2571-905X/3/4/31 |