The Wishart autoregressive process of multivariate stochastic volatility
type: Item
instance of: scholarly article
title: The Wishart autoregressive process of multivariate stochastic volatility
zbMATH Open document ID: 1429.62397
published in: Journal of Econometrics
publication date: 2016-07-04T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H25
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6600709
zbMATH Keywords: stochastic volatility
zbMATH Keywords: car process
zbMATH Keywords: autoregressive gamma process
zbMATH Keywords: factor analysis
zbMATH Keywords: reduced rank
zbMATH Keywords: realized volatility
author: Christian Gouriéroux
author: J. Jasiak
author: R. Sufana
MaRDI profile type: Publication
full work available at URL: j.jeconom.2008.12.016
OpenAlex ID: W1967238670
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DOI: 10.1016/J.JECONOM.2008.12.016
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description: scientific article; zbMATH DE number 6600709