Time series models for realized covariance matrices based on the matrix-F distribution
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Publication:5066772
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
long memorymodel checkingfactor modelrealized covariance matrixheavy-tailed innovationmatrix time series modelmatrix-F distributionvariance target
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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