The conditional autoregressive wishart model for multivariate stock market volatility
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- Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
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More about this item
Keywords
Component volatility models; Covariance matrix; Mixed data sampling; Observation-driven models; Realized volatility;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-07-10 (Econometrics)
- NEP-ETS-2010-07-10 (Econometric Time Series)
- NEP-MST-2010-07-10 (Market Microstructure)
- NEP-ORE-2010-07-10 (Operations Research)
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