Forecasting multivariate realized stock market volatility (Q737267)

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Forecasting multivariate realized stock market volatility
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    Statements

    title
    Forecasting multivariate realized stock market volatility (English)
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    author
    Gregory H. Bauer
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    Keith Vorkink
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    publication date
    10 August 2016
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    zbMATH Keywords
    HAR-RV model
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    realized volatility
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    covariance matrix
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    factor model
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    Identifiers

    zbMATH DE Number
    6610565
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