University of Cologne - Department of Econometrics and Statistics
in Total Papers Downloads
Component volatility models, Covariance matrix, Mixed data sampling, Observation-driven models, Realized volatility
Efficient Importance Sampling, Leverage Effect, Parameter-driven models, Realized volatility, Stochastic Volatility Model
Conditional autoregressive Wishart model, Impulse Response Analysis, Observation-driven models, Realized covariance matrix
Multivariate stochastic volatility, Dynamic correlations, Wishart distribution, Markov switching, Markov chain Monte Carlo
Latent factor models, Covariance matrix, Matrix logarithm, Realized volatility
Realized volatility, Covariance matrix, Spectral Decomposition, Time-Series Models.
Efficient Importance Sampling, Intraday Stochastic Volatility, Mixed Frequency, Realized Volatility.
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