Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model

R.R. Hansen, P. Janus, S.J. Koopman

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages36
Publication statusPublished - 2016

Publication series

NameTI Discussion Series
No.16-061/III

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