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...

Recently, the world of cryptocurrencies has experienced an undoubted increase in interest. Since the first cryptocurrency appeared in 2009 in the aftermath of the Great Recession, the popularity of digital currencies has, year by year, risen continuously. As of February 2021, there are more than...

It has often been observed in the literature that non-parametric approaches to the estimation of production frontiers are hardly robust in the presence of outliers. This paper proposes a class of robust frontier estimators based upon extreme value theory. The nature of the proposed method is...