Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867): Difference between revisions
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Revision as of 23:55, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction |
scientific article |
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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (English)
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29 April 2019
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factor model
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GARCH
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low-rank
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POET
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quasi-maximum likelihood estimator
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sparsity
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