We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes a generalized linear autoregressive moving average structure for the scale matrix of the Wishart distribution allowing to accommodate for complex...

The authors introduce a novel approach of attributing factor risk to a time series of reported private asset returns. Their factor-optimized lagged-beta (FOLB) method uncovers more latent factor risk than standard unsmoothing techniques, offering a more precise attribution of factor betas and...