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

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

Research output: Working paper / Preprint › Working paper › Professional

Name	TI Discussion Series
No.	16-061/III

Access to Document

@techreport{f805b52cba404bc9a3af844cc9f8a97f,

title = "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model",

author = "R.R. Hansen and P. Janus and S.J. Koopman",

year = "2016",

language = "English",

series = "TI Discussion Series",

publisher = "Tinbergen Institute",

number = "16-061/III",

type = "WorkingPaper",

institution = "Tinbergen Institute",

}