This book will be mainly focused on the topics in high-dimensional situations.

This paper studies the estimation of dynamic covariance matrices with multiple conditioning variables, where the matrix size can be ultra large (divergent at an exponential rate of the sample size).

We study structured covariance matrices in a Gaussian setting for a variety of data analysis scenarios.

Literature Review from the year 2020 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, , language: English, abstract: This paper is a review to the GARCH family’s models.

This volume may be used effectively across a number of disciplines in both undergraduate and graduate statistics classrooms, and also in the research laboratory.

We introduce a class of multiplicative dynamic models for realized covariance matrices assumed to be conditionally Wishart distributed.