Jan P. Hartkopf

University of Cologne - Cologne Graduate School in Management, Economics and Social Sciences

Albertus-Magnus-Platz

Cologne, 50931

Germany

  • University of Cologne - Cologne Graduate School in Management, Economics and Social Sciences

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Scholarly Papers (2)

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1.

Modeling Realized Covariance Measures with Heterogeneous Liquidity: A Generalized Matrix-Variate Wishart State-Space Model

Number of pages: 53 Posted: 07 Oct 2020
Bastian Gribisch and Jan P. Hartkopf
University of Cologne - Department of Econometrics and Statistics and University of Cologne - Cologne Graduate School in Management, Economics and Social Sciences
Downloads 103 (440,151)
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Realized covariance, State-space model, Riesz distribution, Bayesian inference

2.

From Large to Vast: Composite Forecasting of Vast-Dimensional Realized Covariance Matrices Using Factor State-Space Models

Number of pages: 46 Posted: 06 Jan 2021 Last Revised: 16 Feb 2021
Jan P. Hartkopf
University of Cologne - Cologne Graduate School in Management, Economics and Social Sciences
Downloads 68 (565,767)
Citation 1

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Factor model, realized covariance, state-space model, composite prediction