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  • Search: subject:"realized covariance targeting"
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Year of publication
Subject
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MCMC 1 Wishart distribution 1 density forecasts 1 predictive likelihoods 1 realized covariance targeting 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
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Undetermined 1
Author
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Jin, Xin 1 Maheu, John M. 1
Institution
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Rimini Centre for Economic Analysis (RCEA) 1
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Working Paper Series / Rimini Centre for Economic Analysis (RCEA) 1
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RePEc 1
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Modelling Realized Covariances and Returns
Jin, Xin; Maheu, John M. - Rimini Centre for Economic Analysis (RCEA) - 2012
This paper proposes new dynamic component models of returns and realized covariance (RCOV) matrices based on time-varying Wishart distributions. Bayesian estimation and model comparison is conducted with a range of multivariate GARCH models and existing RCOV models from the literature. The main...
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