Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867)
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scientific article; zbMATH DE number 7048559
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| English | Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction |
scientific article; zbMATH DE number 7048559 |
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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (English)
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29 April 2019
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factor model
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GARCH
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low-rank
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POET
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quasi-maximum likelihood estimator
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sparsity
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0.8351232409477234
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0.8226089477539062
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0.815483033657074
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0.8141142725944519
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0.8020827770233154
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