The conditional autoregressive Wishart model for multivariate stock market volatility
From MaRDI portal
(Redirected from Publication:738147)
Recommendations
- The Wishart autoregressive process of multivariate stochastic volatility
- Multivariate Wishart stochastic volatility and changes in regime
- Factor Multivariate Stochastic Volatility via Wishart Processes
- Forecasting multivariate realized stock market volatility
- Multi-variate stochastic volatility modelling using Wishart autoregressive processes
Cites work
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 951459 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- A component model for dynamic correlations
- Analysis of high dimensional multivariate stochastic volatility models
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Efficient estimation of a multivariate multiplicative volatility model
- Estimating Regression Models of Finite but Unknown Order
- Estimating the dimension of a model
- Forecasting multivariate realized stock market volatility
- MIDAS Regressions: Further Results and New Directions
- Model Selection
- Modeling and Forecasting Realized Volatility
- Multivariate Stochastic Variance Models
- Multivariate Stochastic Volatility: A Review
- On loss functions and ranking forecasting performances of multivariate volatility models
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Studying co-movements in large multivariate data prior to multivariate modelling
- The Wishart autoregressive process of multivariate stochastic volatility
Cited in
(43)- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
- 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
- A multivariate volatility vine copula model
- 24-hour realized volatilities and transatlantic volatility interdependence
- 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
- Forecasting multivariate realized stock market volatility
- Goodness-of-fit tests for centralized Wishart processes
- Matrix exponential stochastic volatility with cross leverage
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- Bayesian semiparametric modeling of realized covariance matrices
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Long and short-run dynamics in realized covariance matrices: a robust MIDAS approach
- Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
- A New Approach to Identifying the Real Effects of Uncertainty Shocks
- Dynamic modeling of high-dimensional correlation matrices in finance
- 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
- Econometric analysis of volatility component models
- 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
- A ridge to homogeneity for linear models
- Multivariate Wishart stochastic volatility and changes in regime
- Infinite Markov pooling of predictive distributions
- Closed-form estimator for the matrix-variate gamma distribution
- 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
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Realized BEKK-CAW models
- Dynamic principal component CAW models for high-dimensional realized covariance matrices
- Modeling and forecasting realized covariance matrices with accounting for leverage
- Portfolio return distributions: sample statistics with stochastic correlations
- The Gibbs sampler with particle efficient importance sampling for state-space models
- Bayesian hierarchical modeling on covariance valued data
- Multi-variate stochastic volatility modelling using Wishart autoregressive processes
This page was built for publication: The conditional autoregressive Wishart model for multivariate stock market volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738147)
