Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model (Q6163267)
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scientific article; zbMATH DE number 7693697
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model |
scientific article; zbMATH DE number 7693697 |
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Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model (English)
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9 June 2023
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realized covariance
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state-space model
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Riesz distribution
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Bayesian inference
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