Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices

DOI10.1080/07350015.2022.2075370MaRDI QIDQ6190695zbMATH OpenOpenAlexWikidataFDO

Authors Gustav Alfelt, Taras Bodnar, Farrukh Javed, Joanna Tyrcha

Publication date 6 March 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2022.2075370

zbMATH Keywords

covariance targetinghigh-dimensional datarealized covariance matrixstock co-volatilitytime series matrix-variate model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(4)

• Efficient sampling for realized variance estimation in time-changed diffusion models
• Maximum likelihood estimation for singular Wishart distributions
• Expanding the risk horizon: an integrated framework for managing uncertainty and risk in portfolio selection
• Statistical tests for realized multivariate volatility models

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