Realized BEKK-CAW models (Q2693372)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Realized BEKK-CAW models |
scientific article |
Statements
Realized BEKK-CAW models (English)
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20 March 2023
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asymptotic theory
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realized multivariate GARCH
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conditional autoregressive Wishart
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quasi-maximum likelihood estimation
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variance targeting
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