C53 - Forecasting and Prediction Methods; Simulation Methods - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T00:48:28+00:00Multivariate Realized Stock Market Volatility
https://www.bankofcanada.ca/2007/03/working-paper-2007-20/
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns.2007-03-07T15:39:50+00:00enMultivariate Realized Stock Market Volatility2007-03-07Econometric and statistical methodsFinancial marketsWorking Paper 2007-20 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-20.pdfMultivariate Realized Stock Market VolatilityGregory BauerKeith VorkinkMarch 2007CC3C32C5C53GG1G14