Modeling and forecasting of realized covariance matrices of asset returns using state-space models

von Hartkopf, Jan Patrick
Veröffentlicht 2020

Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model

von Gribisch, Bastian
Veröffentlicht in Journal of econometrics (2023)

Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures

von Hartkopf, Jan Patrick
Veröffentlicht in Finance research letters (2023)

Factor state-space models for high-dimensional realized covariance matrices of asset returns

von Gribisch, Bastian
Veröffentlicht in Journal of empirical finance (2020)