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

Cite this

Hansen, R. R., Janus, P., & Koopman, S. J. (2016). Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model. (TI Discussion Series; No. 16-061/III). Amsterdam: Tinbergen Institute.
Hansen, R.R. ; Janus, P. ; Koopman, S.J. / Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model. Amsterdam : Tinbergen Institute, 2016. (TI Discussion Series; 16-061/III).
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Hansen, RR, Janus, P & Koopman, SJ 2016 'Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model' TI Discussion Series, no. 16-061/III, Tinbergen Institute, Amsterdam.

Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model. / Hansen, R.R.; Janus, P.; Koopman, S.J.

Amsterdam : Tinbergen Institute, 2016. (TI Discussion Series; No. 16-061/III).

Research output: Working paperProfessional

TY - UNPB

T1 - Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model

AU - Hansen, R.R.

AU - Janus, P.

AU - Koopman, S.J.

PY - 2016

Y1 - 2016

M3 - Working paper

T3 - TI Discussion Series

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

PB - Tinbergen Institute

CY - Amsterdam

ER -

Hansen RR, Janus P, Koopman SJ. Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model. Amsterdam: Tinbergen Institute. 2016. (TI Discussion Series; 16-061/III).