Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
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- P Gorgi & P R Hansen & P Janus & S J Koopman, 2019. "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(1), pages 1-32.
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Cited by:
- Catania, Leopoldo & Proietti, Tommaso, 2020.
"Forecasting volatility with time-varying leverage and volatility of volatility effects,"
International Journal of Forecasting, Elsevier, vol. 36(4), pages 1301-1317.
- Leopoldo Catania & Tommaso Proietti, 2019. "Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects," CEIS Research Paper 450, Tor Vergata University, CEIS, revised 06 Feb 2019.
- BAUWENS Luc, & XU Yongdeng,, 2019.
"DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations,"
LIDAM Discussion Papers CORE
2019025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Xu, Yongdeng, 2019. "DCC-HEAVY: a multivariate GARCH model based on realized variances and correlations," Cardiff Economics Working Papers E2019/5, Cardiff University, Cardiff Business School, Economics Section.
- Paolo Gorgi & Siem Jan Koopman, 2020. "Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects," Tinbergen Institute Discussion Papers 20-004/III, Tinbergen Institute.
- Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org.
- Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Marius Matei & Xari Rovira & Núria Agell, 2019. "Bivariate Volatility Modeling with High-Frequency Data," Econometrics, MDPI, Open Access Journal, vol. 7(3), pages 1-15, September.
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More about this item
Keywords
high-frequency data; multivariate GARCH; multivariate volatility; realised covariance; score; Wishart density;All these keywords.
JEL classification:
- 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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-08-21 (Econometrics)
- NEP-ETS-2016-08-21 (Econometric Time Series)
- NEP-ORE-2016-08-21 (Operations Research)
- NEP-RMG-2016-08-21 (Risk Management)
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