Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/315172 
Authors: 
Year of Publication: 
2025
Series/Report no.: 
Tinbergen Institute Discussion Paper No. TI 2025-021/III
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data, taking the logarithm of the squared returns to obtain a linear state space model. A well-known series representation links the correlations between elements of the observation error in the actual and linearized forms of the model. This note derives a closed-form expression for the series and discusses its statistical implications. Additionally, it offers a new interpretation of the correlations in the linearized model.
Subjects: 
Multivariate volatility models
Quasi-maximum likelihood
Cross-correlation
Document Type: 
Working Paper

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