Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches (Q3111195): Difference between revisions
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Latest revision as of 02:07, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches |
scientific article |
Statements
Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches (English)
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18 January 2012
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dimension reduction
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eigenanalysis
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factor model
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matrix process
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realized volatilities
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vector autoregressive model
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