16-061/III - Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model

• Authors
  Peter Reinhard Hansen, University of North Carolina at Chapel Hill, United States; Pawel Janus, UBS Global Asset Management, Zürich, Switzerland; Siem Jan Koopman, VU University Amsterdam, the Netherlands
• Publication date
  August 11, 2016

• Keywords
  high-frequency data, multivariate GARCH, multivariate volatility, realised covariance, score, Wishart density
• JEL
  C32, C52, C58