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We introduce a stochastic process with Wishart marginals: the generalised Wishart process (GWP).
On the theory of brownian motion
Uhlenback, G. and Ornstein, L. (1930) · 1930
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Portfolio selection
Markowitz, H. (1952) · 1952
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Mutual fund performance
Sharpe, W. (1966) · 1966
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An analytic derivation of the efficient portfolio frontier
Merton, R. (1972) · 1972
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Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation
Engle, R. F. (1982) · 1982
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Stochastic relaxation, Gibbs distributions, and the bayesian restoration of images
Geman, S. and Geman, D. (1984) · 1984
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Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · 1986
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A capital asset pricing model with time-varying covariances
Bollerslev, T., Engle, R. F., and Wooldridge, J. M. (1988) · 1988
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Modeling the coherence in short-term nominal exchange rates: A multivariate generalized arch approach
Bollerslev, T. (1990) · 1990
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Wishart processes
Bru, M. (1991) · 1991
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Arch models
Engle, R., Nelson, D., and Bollerslev, T. (1994) · 1994
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Multivariate stochastic variance models
Harvey, A., Ruiz, E., and Shephard, N. (1994) · 1994
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Multivariate simultaneous generalized ARCH
Engle, R. and Kroner, K. (1995) · 1995
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Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
Green, P. (1995) · 1995
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Periodic autoregressive conditional heteroscedasticity
Bollerslev, T. and Ghysels, E. (1996) · 1996
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Intraday periodicity and volatility persistence in financial markets
Andersen, T. G. and Bollerslev, T. (1997) · 1997
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ARCH models and financial applications
Gouriéroux, C. (1997) · 1997
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Benchmarks and software standards: A case study of GARCH procedures
McCullough, B. and Renfro, C. (1998) · 1998
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A forecast comparison of volatility models: Does anything beat a GARCH(1,1)
Hansen, P. R. and Lunde, A. (2005) · 2005
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Practical issues in forecasting volatility
Poon, S.-H. and Granger, C. W. (2005) · 2005
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Semiparametric latent factor models
Teh, Y., Seeger, M., and Jordan, M. (2005) · 2005
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Multivariate stochastic volatility via Wishart processes
Philipov, A. and Glickman, M. (2006) · 2006
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Gaussian processes for Machine Learning
Rasmussen, C. E. and Williams, C. K. (2006) · 2006
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Multi-task Gaussian process prediction
Bonilla, E., Chai, K., and Williams, C. (2008) · 2008
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Benchmarks and the accuracy of GARCH model estimation
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A new approach to measuring financial contagion
Bae, K., Karolyi, G., and Stulz, R. (2003) · 2003
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Dependent Gaussian processes
Boyle, P. and Frean, M. (2004) · 2004
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Nonstationary multivariate process modeling through spatially varying coregionalization
Gelfand, A., Schmidt, A., Banerjee, S., and Sirmans, C. (2004) · 2004
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Monte Carlo statistical methods
Robert, C. and Casella, G. (2004) · 2004
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A practical guide to volatility forecasting through calm and storm
Brownlees, C. T., Engle, R. F., and Kelly, B. T. (2009) · 2009
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The Wishart autoregressive process of multivariate stochastic volatility
Gouriéroux, C., Jasiak, J., and Sufana, R. (2009) · 2009
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Multivariate GARCH models
Silvennoinen, A. and Teräsvirta, T. (2009) · 2009
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Elliptical Slice Sampling
Murray, I., Adams, R. P., and MacKay, D. J. (2010) · 2010
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Wilson, A. and Ghahramani, Z. (2010) · 2010
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