Modelling Realized Covariances and Returns
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More about this item
KeywordsWishart distribution; predictive likelihoods; density forecasts; realized covariance targeting; MCMC;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-08 (All new papers)
- NEP-ETS-2012-07-08 (Econometric Time Series)
- NEP-FOR-2012-07-08 (Forecasting)
- NEP-RMG-2012-07-08 (Risk Management)
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