We introduce a class of multiplicative dynamic models for realized covariance matrices assumed to be conditionally Wishart distributed. The multiplicative structure enables consistent three-step estimation of the parameters, starting by covariance targeting of a scale matrix. The dynamics of...

It has often been observed in the literature that non-parametric approaches to the estimation of production frontiers are hardly robust in the presence of outliers. This paper proposes a class of robust frontier estimators based upon extreme value theory. The nature of the proposed method is...