Jin, Xin; Maheu, John M. - In: Journal of Financial Econometrics 11 (2013) 2, pp. 335-369
This article proposes new dynamic component models of returns and realized covariance (RCOV) matrices based on time-varying Wishart distributions. Bayesian estimation and model comparison is conducted with a range of multivariate GARCH models and existing RCOV models from the literature. The...