Singular conditional autoregressive Wishart model for realized covariance matrices
Gustav Alfelt, Taras Bodnar, Farrukh Javed and Joanna Tyrcha
| Year of publication: |
[2021]
|
|---|---|
| Authors: | Alfelt, Gustav ; Bodnar, Taras ; Javed, Farrukh ; Tyrcha, Joanna |
| Publisher: |
Örebro, Sweden : Örebro University School of Business |
| 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 |
freely available
| Extent: | 1 Online-Ressource (circa 33 Seiten) |
|---|---|
| Series: | Working paper. - Örebro, Sweden : Örebro University School of Business, ISSN 1403-0586, ZDB-ID 3076307-1. - Vol. 2021, 1 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Other identifiers: | hdl:10419/244576 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012603081