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Modeling covariance breakdowns in multivariate GARCH
Jin, Xin; Maheu, John M. - In: Journal of econometrics 194 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
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Bayesian semiparametric modeling of realized covariance matrices
Jin, Xin; Maheu, John M. - In: Journal of econometrics 192 (2016) 1, pp. 19-39
Persistent link: https://www.econbiz.de/10011610652
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Infinite Markov pooling of predictive distributions
Jin, Xin; Maheu, John M.; Yang, Qiao - In: Journal of econometrics 228 (2022) 2, pp. 302-321
Persistent link: https://www.econbiz.de/10013441752