Singular conditional autoregressive Wishart model for realized covariance matrices
Gustav Alfelt, Taras Bodnar, Farrukh Javed, and Joanna Tyrcha
| Year of publication: |
2023
|
|---|---|
| Authors: | Alfelt, Gustav ; Bodnar, Taras ; Javed, Farrukh ; Tyrcha, Joanna |
| Subject: | Covariance targeting | High-dimensional data | Realized covariance matrix | Stock co-volatility | Time series matrix-variate model | Korrelation | Correlation | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Volatilität | Volatility | Kapitaleinkommen | Capital income | Lineare Algebra | Linear algebra |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2022.2075370 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014448443