Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices


ShanghaiTech SEM Working Paper No. 2018-005


Xin Jin, John M. Maheu, Qiao Yang



This paper introduces a new factor structure suitable for modeling large realized covariance matrices with full likelihood based estimation. Parametric and nonparametric versions are introduced. ...

[View Full Text and Download PDF Version]

Keywords: in nite hidden Markov model, Dirichlet process mixture, inverse-Wishart, predictive density, high-frequency data

JEL Classification: G17, C11, C14, C32, C58


Date Written: September 2017


Available at SSRN: