Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model
Bastian Gribisch, Jan Patrick Hartkopf
| Year of publication: |
2023
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|---|---|
| Authors: | Gribisch, Bastian ; Hartkopf, Jan Patrick |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 235.2023, 1, p. 43-64
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| Subject: | Bayesian inference | Realized covariance | Riesz distribution | State-space model | Korrelation | Correlation | Bayes-Statistik | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2022.01.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014434377