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The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility

Golosnoy, Vasyl - 2011

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...

Persistent link: https://www.econbiz.de/10013133422