The conditional autoregressive Wishart model for multivariate stock market volatility (Q738147)
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scientific article; zbMATH DE number 6617057
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| English | The conditional autoregressive Wishart model for multivariate stock market volatility |
scientific article; zbMATH DE number 6617057 |
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The conditional autoregressive Wishart model for multivariate stock market volatility (English)
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15 August 2016
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component volatility models
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covariance matrix
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mixed data sampling
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observation-driven models
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realized volatility
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0.8203076720237732
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0.798636794090271
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0.798302412033081
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0.797400951385498
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0.7961916327476501
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