[R-sig-finance] Multivariate GARCH with only univariate estimation

[Patrick Burns]

Partially in response to the question that was asked here a couple weeks
ago, the following paper now exists.


In the working papers section of the Burns Statistics website 
http://www.burns-stat.com/
is the following:

                      Multivariate GARCH with Only Univariate Estimation

Abstract:  This brief note offers an explicit algorithm for a 
multivariate GARCH model,
called PC-GARCH, that requires only univariate GARCH estimation.  It is 
suitable for
problems with hundreds or even thousands of variables.  PC-GARCH is 
compared to
two other techniques of getting multivariate GARCH using univariate 
estimates.

Patrick Burns

Burns Statistics
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com