A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices

Roberto Casarin

No 2014:23, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: This article discusses Windle and Carvalho's (2014) state-space model for observations and latent variables in the space of positive symmetric matrices. The present discussion focuses on the model specification and on the contribution to the positive-value time series literature. I apply the proposed model to financial data with a view to shedding light on some modeling issues.

Keywords: Exponential Smoothing; Positive-Valued Processes; State-Space Models; Stochastic Volatility. (search for similar items in EconPapers)
JEL-codes: C11 C18 C22 C53 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2014
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2014:23

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