The generalized conditional autoregressive wishart model for multivariate realized volatility
Philip L.H. Yu, W.K. Li, and F.C. Ng
| Year of publication: |
October 2017
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| Authors: | Yu, Philip L. H. ; Li, Wai Keung ; Ng, F. C. |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 35.2017, 4, p. 513-527
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| Subject: | Covariance matrix | High frequency data | Time series | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Kapitaleinkommen | Capital income | ARMA-Modell | ARMA model | Korrelation | Correlation | Varianzanalyse | Analysis of variance | Börsenkurs | Share price | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1096788 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011893712