Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency

DOI10.1016/J.JMVA.2022.105091zbMath1498.91420arXiv2006.12039OpenAlexW3121565215MaRDI QIDQ2079627

Yanyan Li

Publication date: 30 September 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.12039

zbMATH Keywords

POEThigh dimensionalityfactor modelstochastic volatility modelquasi-maximum likelihood estimation

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15)

Related Items (1)

High-frequency-based volatility model with network structure

Cites Work

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