The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility

DOI10.1080/07350015.2015.1096788MaRDI QIDQ6616628zbMATH OpenFDO

Authors Philip L. H. Yu, Wai Keung Li, F. C. Ng

Publication date 9 October 2024

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

Full work available at URL https://doi.org/10.1080/07350015.2015.1096788

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(5)

• Bayesian hierarchical modeling on covariance valued data
• Generalized Autoregressive Positive-valued Processes
• Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices
• Probability distributions for realized covariance measures
• Partial observability of implied volatility matrices: identification and covolatilities filtering

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