<> "The repository administrator has not yet configured an RDF license."^^ . <> . . "Modelling and Forecasting of Realized Covariance Matrices"^^ . "In this thesis, we use observation-driven models for time-series of daily RCs. That is, we assume a matrix-variate probability distribution for the daily RCs, whose parameters are updated based on the RC realizations from previous days.\r\n\r\nIn particular, Chapter 2 looks at different matrix-variate probability distributions for the RCs and their theoretical and empirical properties. Chapter 3 proposes a flexible observation-driven model to update all distribution-specific time-varying parameters, not just the expected value matrix as is done in the literature so far. Chapter 4 introduces an observation-driven updating mechanism that is applicable to high-dimensional time-series of RCs. Each of these three chapters is a self-contained paper."^^ . "2023" . . . . . . . "Michael"^^ . "Stollenwerk"^^ . "Michael Stollenwerk"^^ . . . . . . "Modelling and Forecasting of Realized Covariance Matrices (PDF)"^^ . . . "Dissertation_Michael_Stollenwerk.pdf"^^ . . . "Modelling and Forecasting of Realized Covariance Matrices (Other)"^^ . . . . . . "indexcodes.txt"^^ . . . "Modelling and Forecasting of Realized Covariance Matrices (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "Modelling and Forecasting of Realized Covariance Matrices (Other)"^^ . . . . . . "preview.jpg"^^ . . . "Modelling and Forecasting of Realized Covariance Matrices (Other)"^^ . . . . . . "medium.jpg"^^ . . . "Modelling and Forecasting of Realized Covariance Matrices (Other)"^^ . . . . . . "small.jpg"^^ . . "HTML Summary of #33700 \n\nModelling and Forecasting of Realized Covariance Matrices\n\n" . "text/html" . . . "300 Sozialwissenschaften, Wirtschaft, Recht"@de . "300 Social sciences"@en . . . "310 Statistik"@de . "310 General statistics"@en . . . "330 Wirtschaft"@de . "330 Economics"@en . . . "510 Mathematik"@de . "510 Mathematics"@en . .