Modeling RCOV matrices with a generalized threshold conditional autoregressive Wishart model

Keyphrases

• Boston 16%
• Conditional Autoregressive 100%
• Copyright 16%
• Example-based 16%
• Financial Time Series 16%
• International Press 16%
• Lagged Values 16%
• Maximum Likelihood Estimation 16%
• Noncentrality 16%
• Nonlinear Behavior 16%
• Nonlinearity 16%
• Piecewise Linear 16%
• Positive Definiteness 16%
• Realized Covariance Matrix 100%
• Scaling Matrix 16%
• Threshold Type 16%
• Wishart Distribution 16%
• Wishart Model 100%

Mathematics

• Conditionals 100%
• Covariance Matrix 100%
• Matrix (Mathematics) 33%
• Maximum Likelihood Estimation 16%
• Nonlinearities 16%
• Piecewise Linear 16%
• Positive Definite 16%
• Real Data 16%
• Type Model 16%
• Wishart Distribution 16%