Pages that link to "Item:Q738147"

The following pages link to The conditional autoregressive Wishart model for multivariate stock market volatility (Q738147):

Displaying 38 items.

• An integrated framework for visualizing and forecasting realized covariance matrices (Q825351) (← links)
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
• Managing risk with a realized copula parameter (Q1659106) (← links)
• Matrix exponential stochastic volatility with cross leverage (Q1659124) (← links)
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (Q1792481) (← links)
• A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (Q2008095) (← links)
• Unrestricted maximum likelihood estimation of multivariate realized volatility models (Q2079416) (← links)
• Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235) (← links)
• Infinite Markov pooling of predictive distributions (Q2673184) (← links)
• Realized BEKK-CAW models (Q2693372) (← links)
• DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE (Q3166712) (← links)
• 24-Hour realized volatilities and transatlantic volatility interdependence (Q4555087) (← links)
• Forecasting high-dimensional realized volatility matrices using a factor model (Q4957246) (← links)
• Dynamic principal component CAW models for high-dimensional realized covariance matrices (Q4991059) (← links)
• Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models (Q4997698) (← links)
• Closed-form estimator for the matrix-variate Gamma distribution (Q5003660) (← links)
• A ridge to homogeneity for linear models (Q5033433) (← links)
• Modeling and forecasting realized covariance matrices with accounting for leverage (Q5034242) (← links)
• A multivariate volatility vine copula model (Q5034252) (← links)
• Connecting the Dots: Numerical Randomized Hamiltonian Monte Carlo with State-Dependent Event Rates (Q5057259) (← links)
• Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models (Q5066477) (← links)
• Time series models for realized covariance matrices based on the matrix-F distribution (Q5066772) (← links)
• Goodness-of-fit tests for centralized Wishart processes (Q5078009) (← links)
• ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (Q5247357) (← links)
• PORTFOLIO RETURN DISTRIBUTIONS: SAMPLE STATISTICS WITH STOCHASTIC CORRELATIONS (Q5249755) (← links)
• The Gibbs sampler with particle efficient importance sampling for state-space models* (Q5860963) (← links)
• Bayesian semiparametric modeling of realized covariance matrices (Q5964748) (← links)
• Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form (Q6086165) (← links)
• Dynamic correlation multivariate stochastic volatility with latent factors (Q6089161) (← links)
• Unrestricted, restricted, and regularized models for forecasting multivariate volatility (Q6138238) (← links)
• Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model (Q6163267) (← links)
• Bayesian hierarchical modeling on covariance valued data (Q6548772) (← links)
• Sample and realized minimum variance portfolios: estimation, statistical inference, and tests (Q6602369) (← links)
• Long and short-run dynamics in realized covariance matrices: a robust MIDAS approach (Q6615798) (← links)
• The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility (Q6616628) (← links)
• New HEAVY Models for Fat-Tailed Realized Covariances and Returns (Q6623216) (← links)
• A New Approach to Identifying the Real Effects of Uncertainty Shocks (Q6626313) (← links)
• Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices (Q6635722) (← links)