@article{Multivariate:1419,
      recid = {1419},
      author = {Bauer, Gregory and Vorkink, Keith},
      title = {Multivariate Realized Stock Market Volatility},
      publisher = {Bank of Canada},
      address = {2007},
      pages = {1 online resource (iii, 41 pages plus tables)},
      abstract = {We present a new matrix-logarithm model of the realized  covariance matrix of stock returns. The model uses latent  factors which are functions of both lagged volatility and  returns. The model has several advantages: it is  parsimonious; it does not require imposing parameter  restrictions; and, it results in a positive-definite  covariance matrix. We apply the model to the covariance  matrix of size-sorted stock returns and find that two  factors are sufficient to capture most of the dynamics. We  also introduce a new method to track an index using our  model of the realized volatility covariance matrix.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/1419},
      doi = {https://doi.org/10.34989/swp-2007-20},
}