Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis (Q1684768)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis |
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Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis (English)
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12 December 2017
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Fourier series
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Heston model
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quadratic variation
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spot cross volatility
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