Open AccessMultiplicative Conditional Correlation Models for Realized Covariance Matrices
Author(s) -
Luc Bauwens,
Manuela Braione,
Giuseppe Storti
Publication year - 2020
Publication title -
ssrn electronic journal
Language(s) - Uncategorized
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.3527455
Subject(s) - covariance , multiplicative function , covariance and correlation , correlation , covariance intersection , covariance mapping , covariance matrix , mathematics , conditional variance , econometrics , law of total covariance , covariance function , statistics , rational quadratic covariance function , statistical physics , physics , autoregressive conditional heteroskedasticity , random variable , volatility (finance) , mathematical analysis , geometry , convergence of random variables , sum of normally distributed random variables
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