Unrestricted maximum likelihood estimation of multivariate realized volatility models (Q2079416)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Unrestricted maximum likelihood estimation of multivariate realized volatility models |
scientific article |
Statements
Unrestricted maximum likelihood estimation of multivariate realized volatility models (English)
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29 September 2022
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large scale optimization
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dynamic covariance models
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financial portfolios
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high-dimensional optimization
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realized covariance matrix
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