Time series models for realized covariance matrices based on the matrix-F distribution (Q5066772)
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scientific article; zbMATH DE number 7500443
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| English | Time series models for realized covariance matrices based on the matrix-F distribution |
scientific article; zbMATH DE number 7500443 |
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Time series models for realized covariance matrices based on the matrix-F distribution (English)
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30 March 2022
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factor model
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heavy-tailed innovation
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long memory
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matrix-F distribution
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matrix time series model
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model checking
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realized covariance matrix
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variance target
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0.825681746006012
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0.8219406604766846
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0.7875821590423584
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0.7864454388618469
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0.7806376218795776
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