Dynamic factor long memory volatility (Q4555133)
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scientific article; zbMATH DE number 6981252
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Dynamic factor long memory volatility |
scientific article; zbMATH DE number 6981252 |
Statements
Dynamic factor long memory volatility (English)
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19 November 2018
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finance
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conditional variance-covariance matrix
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long memory
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factor models
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volatility timing
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0.7941371202468872
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0.7794280052185059
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0.7552537322044373
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0.7524937987327576
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0.7513937950134277
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