Realized Wishart-Garch: A Score-Driven Multi-Asset Volatility Model

By P. R. Hansen, Pawel Janus, S. J. Koopman. 2016

57 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2461fb2c7fbbeccace8ac1000f961340d4862a79

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Dick Van Dijk
2. Pawel Janus
3. André Lucas
4. A. Opschoor
5. I. Archakov
6. P. R. Hansen
7. Andrew J. Patton
8. S. J. Koopman

In Finance

1. Dick Van Dijk
2. Pawel Janus
3. A. Opschoor
4. André Lucas
5. I. Archakov
6. P. R. Hansen
7. Andrew J. Patton
8. S. J. Koopman

Citations in the corpus

• A New Parametrization of Correlation Matrices (2020, background): “Such as those in Liu (2009), Chiriac and Voev (2011), Golosnoy et al.”
• New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2017, methodology): “Unlike Creal, Koopman, and Lucas (2011), Lucas, Schwaab, and Zhang (2014), and Hansen, Janus, and Koopman (2016), our score is a matrix-valued rather than a vector-valued variable.”