The conditional autoregressive Wishart model for multivariate stock market volatility
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Publication:738147
DOI10.1016/J.JECONOM.2011.11.004zbMATH Open1441.62705OpenAlexW3121967648MaRDI QIDQ738147FDOQ738147
Vasyl Golosnoy, Bastian Gribisch, Roman Liesenfeld
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/32942
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Cited In (41)
- An integrated framework for visualizing and forecasting realized covariance matrices
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns
- Unrestricted maximum likelihood estimation of multivariate realized volatility models
- The Wishart autoregressive process of multivariate stochastic volatility
- Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models
- A multivariate volatility vine copula model
- ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility
- Time series models for realized covariance matrices based on the matrix-F distribution
- Dynamic correlation multivariate stochastic volatility with latent factors
- Closed-form estimator for the matrix-variate Gamma distribution
- Goodness-of-fit tests for centralized Wishart processes
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- Matrix exponential stochastic volatility with cross leverage
- Bayesian semiparametric modeling of realized covariance matrices
- Long and short-run dynamics in realized covariance matrices: a robust MIDAS approach
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
- A New Approach to Identifying the Real Effects of Uncertainty Shocks
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
- Forecasting high-dimensional realized volatility matrices using a factor model
- Managing risk with a realized copula parameter
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices
- PORTFOLIO RETURN DISTRIBUTIONS: SAMPLE STATISTICS WITH STOCHASTIC CORRELATIONS
- A ridge to homogeneity for linear models
- The Gibbs sampler with particle efficient importance sampling for state-space models*
- Infinite Markov pooling of predictive distributions
- 24-Hour realized volatilities and transatlantic volatility interdependence
- Connecting the Dots: Numerical Randomized Hamiltonian Monte Carlo with State-Dependent Event Rates
- Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Dynamic principal component CAW models for high-dimensional realized covariance matrices
- Realized BEKK-CAW models
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- DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE
- Bayesian hierarchical modeling on covariance valued data
- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
- Multi-variate stochastic volatility modelling using Wishart autoregressive processes
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