Singular conditional autoregressive Wishart model for realized covariance matrices
Year of publication: |
2023
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Authors: | Alfelt, Gustav ; Bodnar, Taras ; Javed, Farrukh ; Tyrcha, Joanna |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 3, p. 833-845
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Subject: | Covariance targeting | High-dimensional data | Realized covariance matrix | Stock co-volatility | Time series matrix-variate model | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Volatilität | Volatility |
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