Dynamic principal component CAW models for high-dimensional realized covariance matrices (Q4991059)
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scientific article; zbMATH DE number 7353667
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic principal component CAW models for high-dimensional realized covariance matrices |
scientific article; zbMATH DE number 7353667 |
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Dynamic principal component CAW models for high-dimensional realized covariance matrices (English)
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2 June 2021
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conditional autoregressive Wishart (CAW) model
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realized volatility
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covariance matrix
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spectral decomposition
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time-series models
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