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 |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 1, p. 1-32
|
| Subject: | high-frequency data | multivariate GARCH | multivariate volatility | realized covariance | score | Wishart distribution | Volatilität | Volatility | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Schätzung | Estimation | Korrelation | Correlation | Varianzanalyse | Analysis of variance | Börsenkurs | Share price |
Online Resource
| 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 |
Persistent link: https://www.econbiz.de/10012054424