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 ...

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.

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 ...