The Wishart autoregressive process of multivariate stochastic volatility
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Cited in
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- An integrated framework for visualizing and forecasting realized covariance matrices
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- Order estimates for the exact Lugannani-Rice expansion
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns
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- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
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- Size distortion in the analysis of volatility and covolatility effects
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- A fractionally integrated Wishart stochastic volatility model
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- A perturbation analysis of stochastic matrix Riccati diffusions
- The Laplace transform of the integrated Volterra Wishart process
- Applications of the characteristic function-based continuum GMM in finance
- Dynamic correlation multivariate stochastic volatility with latent factors
- Lost in contagion? Building a liquidation index from covariance dynamics
- Comparison of stochastic correlation models
- Running for the exit: distressed selling and endogenous correlation in financial markets
- Short-run risk, business cycle, and the value premium
- Moments of MGOU processes and positive semidefinite matrix processes
- The structure of dynamic correlations in multivariate stochastic volatility models
- Goodness-of-fit tests for centralized Wishart processes
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- Commodity derivatives pricing with cointegration and stochastic covariances
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- Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices
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- Autoregressive mixture models for clustering time series
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- Quadratic stochastic intensity and prospective mortality tables
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- Is normal backwardation normal? Valuing financial futures with a local index-rate covariance
- Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility
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- Pricing range notes within Wishart affine models
- Mean-variance portfolio selection with correlation risk
- Factor Multivariate Stochastic Volatility via Wishart Processes
- Dynamic covariance estimation via predictive Wishart process with an application on brain connectivity estimation
- Two asset-barrier option under stochastic volatility
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Bayesian non-parametrics and the probabilistic approach to modelling
- Bayesian hierarchical modeling on covariance valued data
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
- Multi-variate stochastic volatility modelling using Wishart autoregressive processes
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