We introduce a class of multiplicative dynamic models for realized covariance matrices assumed to be conditionally Wishart distributed. The multiplicative structure enables consistent three-step estimation of the parameters, starting by covariance targeting of a scale matrix. The dynamics of...

The concept of semivalue of a transferable utility game has been introduced by Dubey, Neyman and Weber as weighted sum of marginal contributions. Later, Puente has introduced a particular class of semivalues, called binomial semivalues, where weights are obtained through a recursive procedure....