This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of the international crude ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...

We propose a functional gradient descent algorithm (FGD) for estimating volatility and conditional covariances (given the past) for very high-dimensional financial time series of asset price returns.