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  • Search: subject:"Time series matrix-variate model"
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Year of publication
Subject
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Covariance targeting 3 High-dimensional data 3 Realized covariance matrix 3 Stock co-volatility 3 Time series matrix-variate model 3 Analysis of variance 2 Capital income 2 Correlation 2 Estimation theory 2 Kapitaleinkommen 2 Korrelation 2 Linear algebra 2 Lineare Algebra 2 Schätztheorie 2 Time series analysis 2 Varianzanalyse 2 Volatility 2 Volatilität 2 Zeitreihenanalyse 2
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Online availability
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Free 3
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 3
Author
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Alfelt, Gustav 3 Bodnar, Taras 3 Javed, Farrukh 3 Tyrcha, Joanna 3
Published in...
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Working Paper 1 Working paper 1
Source
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ECONIS (ZBW) 2 EconStor 1
Showing 1 - 3 of 3
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
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Cover Image
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021
Persistent link: https://www.econbiz.de/10012603081
Saved in:
Cover Image
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2020
Realized covariance matrices are often constructed under the assumption that richness of intra-day return data is greater than the portfolio size, resulting in non-singular matrix measures. However, when for example the portfolio size is large, assets suffer from illiquidity issues, or market...
Persistent link: https://www.econbiz.de/10012654472
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