Forecasting high-dimensional realized volatility matrices using a factor model (Q4957246)
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scientific article; zbMATH DE number 7390946
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting high-dimensional realized volatility matrices using a factor model |
scientific article; zbMATH DE number 7390946 |
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Forecasting high-dimensional realized volatility matrices using a factor model (English)
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3 September 2021
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high-dimension
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high-frequency
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realized covariance matrices
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factor model
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Wishart distribution
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