Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Year of publication: |
August 6, 2016
|
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Authors: | Hansen, Peter Reinhard ; Janus, Paweł ; Koopman, Siem Jan |
Publisher: |
Amsterdam : Tinbergen Institute |
Subject: | high-frequency data | multivariate GARCH | multivariate volatility | realized covariance | score | Wishart density | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Kapitaleinkommen | Capital income | Korrelation | Correlation | Börsenkurs | Share price | Varianzanalyse | Analysis of variance |
Extent: | 1 Online-Ressource (circa 36 Seiten) |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. TI 2016-061 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | hdl:10419/145368 [Handle] |
Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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