SStudyAcademic Library

Dashboard Shelves Open access My library Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Bayesian semiparametric modeling of realized covariance matrices · Study

ArticleShelves

ArticleBayesian semiparametric modeling of realized covariance matrices

Xin Jin2015

Article2015

Bayesian semiparametric modeling of realized covariance matrices

Xin Jin · John M. Maheu

45 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

Financial Risk and Volatility Modeling Stochastic processes and financial applications Bayesian Methods and Mixture Models

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 45 citations exist upstream.

References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 2009The Wishart Autoregressive process of multivariate stochastic volatility 2011Modelling and Forecasting Multivariate Realized Volatility 2011Multivariate high‐frequency‐based volatility (HEAVY) models

Cited by

2019Large-scale portfolio allocation under transaction costs and model uncertainty 2023Bayesian forecasting in economics and finance: A modern review

Details

Year2015

Typearticle

Published2015-12-02

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations45

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jeconom.2015.11.001

openalex_workW1669348267

Links

Imported from OpenAlex (CC0) — nothing here is generated.