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Readme file
SERIES
B
 Statistical
Methodology
Modelling multivariate volatilities via conditionally uncorrelated components, by J. Fan, M. Wang and Q. Yao, pages 679–702
The MATLAB code is contained in the file MatlabCode.txt
The code was developed by Mingjin Wang (e-mail: mjwang@gsm.pku.edu.cn).
10ExchangeRateData.txt and SCISReturnData.txt are the two real data sets that were used in the illustration in the paper.
Qiwei Yao
Department of Statistics
London School of Economics
and Political Science
Houghton Street
London
WC2A 2AE
UK
E-mail: q.yao@lse.ac.uk
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Journals
SERIES
A
Statistics
in Society
SERIES
B
Statistical
Methodology
SERIES C
Applied Statistics
SERIES D
The
Statistician
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