Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
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Cites work
- A CLOSER LOOK AT THE EPPS EFFECT
- ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Fourier series method for measurement of multivariate volatilities
- Modeling and Forecasting Realized Volatility
- On measuring volatility of diffusion processes with high frequency data
- The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
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