Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models
Author:
Affiliation:
1. Faculty of Economics Soka University Hachioji Japan
2. Department of Information Systems, Business Statistics and Operations Management The Hong Kong University of Science and Technology Hong Kong
Funder
Australian Academy of Science
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12566
Reference42 articles.
1. Modeling and Forecasting Realized Volatility
2. Stochastic Covariance Models
3. BabaY. EngleR KraftD KronerK.1985. Multivariate simultaneous generalized ARCH (Unpublished paper). University of California San Diego [Published as Engle and Kroner (1995)].
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