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Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, Joanna

Singular conditional autoregressive Wishart model for realized covariance matrices. (English) Zbl 1531.62102

J. Bus. Econ. Stat. 41, No. 3, 833-845 (2023).

MSC:

62P20 Applications of statistics to economics

Keywords:

covariance targeting; high-dimensional data; realized covariance matrix; stock co-volatility; time series matrix-variate model
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References:

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