Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of Econometrics 167 (2012) 1, pp. 211-223
We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes an autoregressive moving average structure for the scale matrix of the Wishart distribution. It accounts for positive definiteness of covariance...