The Wishart autoregressive process of multivariate stochastic volatility (Q302185)
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scientific article; zbMATH DE number 6600709
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Wishart autoregressive process of multivariate stochastic volatility |
scientific article; zbMATH DE number 6600709 |
Statements
The Wishart autoregressive process of multivariate stochastic volatility (English)
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4 July 2016
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stochastic volatility
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car process
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autoregressive gamma process
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factor analysis
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reduced rank
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realized volatility
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0.9675775
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0.9218012
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0.9205493
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0.8861481
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0.8849021
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