Rank-adjusted conditional autoregressive Wishart models
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Cites work
- A sequential particle filter method for static models
- Approximate leave-future-out cross-validation for Bayesian time series models
- Bayesian inference on GARCH models using the Gibbs sampler
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Comparison of MCMC Methods for Estimating GARCH Models
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Heterogeneous asymmetric dynamic conditional correlation model with stock return and range
- Large volatility matrix inference via combining low-frequency and high-frequency approaches
- Multivariate leverage effects and realized semicovariance GARCH models
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Multivariate rotated ARCH models
- Multivariate Stochastic Volatility
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns
- Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
- Sequential Monte Carlo optimization and statistical inference
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
- Singular Wishart and multivariate beta distributions
- The conditional autoregressive Wishart model for multivariate stock market volatility
- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
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