The Wishart autoregressive process of multivariate stochastic volatility

DOI10.1016/j.jeconom.2008.12.016zbMath1429.62397OpenAlexW1967238670MaRDI QIDQ302185

Joanna Jasiak, Razvan Sufana, Christian Gouriéroux

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.016

zbMATH Keywords

stochastic volatilityfactor analysisrealized volatilityreduced rankautoregressive gamma processcar process

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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