Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model

DOI10.1016/j.jeconom.2022.01.007OpenAlexW4220854126MaRDI QIDQ6163267

Bastian Gribisch, Jan Patrick Hartkopf

Publication date: 9 June 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.01.007

zbMATH Keywords

state-space modelBayesian inferenceRiesz distributionrealized covariance

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Jones-Balakrishnan property for matrix variate beta distributions ⋮ On the Gaussian representation of the Riesz probability distribution on symmetric matrices

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