The conditional autoregressive Wishart model for multivariate stock market volatility

DOI10.1016/j.jeconom.2011.11.004zbMath1441.62705OpenAlexW3121967648MaRDI QIDQ738147

Vasyl Golosnoy, Bastian Gribisch, Roman Liesenfeld

Publication date: 15 August 2016

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

Full work available at URL: http://hdl.handle.net/10419/32942

zbMATH Keywords

covariance matrixrealized volatilityobservation-driven modelsmixed data samplingcomponent volatility models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Uses Software

• RiskMetrics

Cites Work

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