Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - 2001
assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes … models as e.g. the multivariate version of the prominent GARCH model become easily intractable für empirical work. We propose … principal component analysis the dimensionality problem is solved by transforming a multivariate series into a set of univariate …