The Wishart autoregressive process of multivariate stochastic volatility

DOI10.1016/J.JECONOM.2008.12.016zbMATH Open1429.62397OpenAlexW1967238670MaRDI QIDQ302185FDOQ302185

Authors: Christian Gouriéroux, J. Jasiak, R. Sufana 

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.016

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• scientific article; zbMATH DE number 5010683
• scientific article; zbMATH DE number 1106711

zbMATH Keywords

factor analysisrealized volatilitystochastic volatilityreduced rankautoregressive gamma processcar process

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Realized BEKK-CAW models
• Dynamic covariance estimation via predictive Wishart process with an application on brain connectivity estimation
• 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
• The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility

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