TY - JOUR
AU - Rodrigues, Paulo
AB - Journal of Financial Econometrics, 2009, Vol. 7, No. 4, 339–340 Special Issue on “Multivariate Volatility Models” Rene´ Garcia, Eric Ghysels, Eric Renault, and Paulo Rodrigues On October 26 and 27, 2007, the Journal of Financial Econometrics co-sponsored a conference on the topic of Multivariate Volatility Models, in Faro, Portugal. The topic of multivariate models of volatility is hugely important. Unfortu- nately, it is also a hugely complex problem for which there are no simple solutions. Indeed, parameter proliferation is a common problem that prevents one from opt- ing for relatively easy solutions. Hence, one often settles for compromises in terms of parameterization that often involve untested or untestable restrictions. Progress in the area is nevertheless very important—and this is why the Journal organized a conference on the topic. In this issue we publish a small selection of papers presented at the conference. In “Range-Based Covariance Estimation,” Van Dijk, Martens, and Bannouh introduce the realized co-range as a novel estimator of the daily covariance between asset returns. The estimator is based on intraday high–low price ranges. Range- based estimators have typically been applied to univariate settings. The authors pay particular attention to microstructure noise and its impact on the estimator 
TI - Special Issue on Multivariate Volatility Models
JO - Journal of Financial Econometrics
DO - 10.1093/jjfinec/nbp017
DA - 2009-01-01
UR - https://www.deepdyve.com/lp/oxford-university-press/special-issue-on-multivariate-volatility-models-P90dj9D0VL
SP - 339
EP - 340
VL - 7
IS - 4
DP - DeepDyve
ER -