Time series models for realized covariance matrices based on the matrix-F distribution

DOI10.5705/ss.202019.0424OpenAlexW3175624547MaRDI QIDQ5066772

Wai Keung Li, Feiyu Jiang, Ke Zhu, Jiayuan Zhou

Publication date: 30 March 2022

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202019.0424

zbMATH Keywords

long memorymodel checkingfactor modelrealized covariance matrixheavy-tailed innovationmatrix time series modelmatrix-F distributionvariance target

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form ⋮ On portmanteau-type tests for nonlinear multivariate time series ⋮ Realized BEKK-CAW models

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