Pages that link to "Item:Q302185"
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The following pages link to The Wishart autoregressive process of multivariate stochastic volatility (Q302185):
Displaying 50 items.
- Order estimates for the exact Lugannani-Rice expansion (Q263055) (← links)
- The structure of dynamic correlations in multivariate stochastic volatility models (Q302187) (← links)
- Commodity derivatives pricing with cointegration and stochastic covariances (Q319797) (← links)
- On the control of the difference between two Brownian motions: an application to energy markets modeling (Q324996) (← links)
- Moments of MGOU processes and positive semidefinite matrix processes (Q444969) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- Discrete time Wishart term structure models (Q543795) (← links)
- The conditional autoregressive Wishart model for multivariate stock market volatility (Q738147) (← links)
- An integrated framework for visualizing and forecasting realized covariance matrices (Q825351) (← links)
- A stochastic correlation model with mean reversion for pricing multi-asset options (Q841855) (← links)
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
- A tractable state-space model for symmetric positive-definite matrices (Q899053) (← links)
- Hellinger distance and non-informative priors (Q899064) (← links)
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
- Quadratic stochastic intensity and prospective mortality tables (Q938051) (← links)
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
- Managing risk with a realized copula parameter (Q1659106) (← links)
- Matrix exponential stochastic volatility with cross leverage (Q1659124) (← links)
- Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects (Q1739883) (← links)
- Applications of the characteristic function-based continuum GMM in finance (Q1927140) (← links)
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (Q2008095) (← links)
- Is normal backwardation normal? Valuing financial futures with a local index-rate covariance (Q2076945) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
- A perturbation analysis of stochastic matrix Riccati diffusions (Q2179615) (← links)
- Indirect inference in fractional short-term interest rate diffusions (Q2227436) (← links)
- Modelling joint behaviour of asset prices using stochastic correlation (Q2241515) (← links)
- Short-run risk, business cycle, and the value premium (Q2246740) (← links)
- Mean-variance portfolio selection with correlation risk (Q2252429) (← links)
- Comparison of stochastic correlation models (Q2314458) (← links)
- Estimation of affine term structure models with spanned or unspanned stochastic volatility (Q2343761) (← links)
- Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices (Q2444649) (← links)
- Intradaily dynamic portfolio selection (Q2445697) (← links)
- Pricing range notes within Wishart affine models (Q2513635) (← links)
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities (Q2514629) (← links)
- Scalable inference for a full multivariate stochastic volatility model (Q2682962) (← links)
- Realized BEKK-CAW models (Q2693372) (← links)
- Multivariate Stochastic Volatility Estimation Using Particle Filters (Q2787388) (← links)
- INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS (Q2800050) (← links)
- FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK (Q2831004) (← links)
- RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS (Q2851561) (← links)
- Estimation and inference of the vector autoregressive process under heteroscedasticity (Q2890716) (← links)
- Multi-variate stochastic volatility modelling using Wishart autoregressive processes (Q2930900) (← links)
- Size Distortion in the Analysis of Volatility and Covolatility Effects (Q2950560) (← links)
- Bayesian non-parametrics and the probabilistic approach to modelling (Q2955477) (← links)
- LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS (Q2970316) (← links)
- DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE (Q3166712) (← links)
- Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models (Q4997698) (← links)
- (Q5011566) (← links)
- Time series models for realized covariance matrices based on the matrix-F distribution (Q5066772) (← links)
