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~language:"eng"
~person:"Koopman, Siem Jan"
~subject:"Volatilität"
~subject:"realized covariance"
~type_genre:"Non-commercial literature"
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Koopman, Siem Jan
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Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard
;
Janus, Paweł
;
Koopman, Siem Jan
-
2016
We propose a novel
multivariate
GARCH
model that incorporates realized measures for the variance matrix of returns. The …
Persistent link: https://www.econbiz.de/10011520881
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