Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
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Publication:6163267
DOI10.1016/j.jeconom.2022.01.007OpenAlexW4220854126MaRDI QIDQ6163267
Bastian Gribisch, Jan Patrick Hartkopf
Publication date: 9 June 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.01.007
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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