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1 Ergebnisse
1
Realized Wishart-GARCH:A Score-driven Multi-Asset Volatilit..:
Gorgi, P
;
Hansen, Peter Reinhard
;
Janus, P
.
Gorgi , P , Hansen , P R , Janus , P & Koopman , S J 2019 , ' Realized Wishart-GARCH : A Score-driven Multi-Asset Volatility Model ' , Journal of Financial Econometrics , vol. 17 , no. 1 , pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007. , 2019
Link:
https://pure.au.dk/portal/da/publications/realized-wis..
RT Journal T1 <Title>Realized Wishart-GARCH:A Score-driven Multi-Asset Volatility Model</Title> UL https://suche.suub.uni-bremen.de/peid=base-ftuniaarhuspubl:oai:pure.atira.dk:publications_0d3de8d0-780f-4775-a480-99eb410527fa&Exemplar=1&LAN=DE A1 Gorgi, P A1 Hansen, Peter Reinhard A1 Janus, P A1 Koopman, S J YR 2019 K1 Wishart distribution K1 high-frequency data K1 multivariate GARCH K1 multivariate volatility K1 realized covariance K1 score JF Gorgi , P , Hansen , P R , Janus , P & Koopman , S J 2019 , ' Realized Wishart-GARCH : A Score-driven Multi-Asset Volatility Model ' , Journal of Financial Econometrics , vol. 17 , no. 1 , pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007 LK http://dx.doi.org/https://pure.au.dk/portal/da/publications/realized-wishartgarch(0d3de8d0-780f-4775-a480-99eb410527fa).html DO https://pure.au.dk/portal/da/publications/realized-wishartgarch(0d3de8d0-780f-4775-a480-99eb410527fa).html SF ELIB - SuUB Bremen
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