Realized Wishart-GARCH : a score-driven multi-asset volatility model

P. Gorgi, P.R. Hansen, P. Janus, S.J. Koopman

Year of publication:	2019
Authors:	Gorgi, P. ; Hansen, Peter Reinhard ; Janus, Paweł ; Koopman, Siem Jan
Subject:	high-frequency data \| multivariate GARCH \| multivariate volatility \| realized covariance \| score \| Wishart distribution \| Volatilität \| Volatility \| ARCH-Modell \| ARCH model \| Multivariate Analyse \| Multivariate analysis \| Zeitreihenanalyse \| Time series analysis \| Korrelation \| Correlation \| Varianzanalyse \| Analysis of variance \| Marktmikrostruktur \| Market microstructure

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1093/jjfinec/nby007 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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