High-dimensional index volatility models via Stein's identity (Q2040038)

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High-dimensional index volatility models via Stein's identity
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    title
    High-dimensional index volatility models via Stein's identity (English)
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    DOI
    10.3150/20-BEJ1238
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    author
    Sen Na
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    Mladen Kolar
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    published in
    Bernoulli
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    publication date
    9 July 2021
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    zbMATH DE Number
    7370690
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    zbMATH Keywords
    high-dimensional estimation
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    index volatility model
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    Stein's identity
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