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