Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices (Q6190695)
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scientific article; zbMATH DE number 7813778
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices |
scientific article; zbMATH DE number 7813778 |
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Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices (English)
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6 March 2024
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covariance targeting
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high-dimensional data
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realized covariance matrix
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stock co-volatility
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time series matrix-variate model
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