Travail de recherche/Working paper
Titre:
  • A Note on Estimating Wishart Autoagressive Model
Auteur:Halbleib, Roxana
Statut de publication:Publié, 2010-12
series:ECARES Working Papers, ECARES 2010-043
Sujet CREF:Economie
Sujet JEL:Multiple or Simultaneous Equation Models: Time-Series Models
Specific Distributions
Model Construction and Estimation
Volumes/pages:14 p.
Mots-clés:Wishart autoagressive process
asymptotic properties
realized covariance
log-normal distribution
Langue:Anglais
Identificateurs:RePEc:eca:wpaper:2013/73606