Large volatility matrix analysis using global and national factor models (Q6108334)
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scientific article; zbMATH DE number 7704520
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large volatility matrix analysis using global and national factor models |
scientific article; zbMATH DE number 7704520 |
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Large volatility matrix analysis using global and national factor models (English)
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29 June 2023
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high-dimensionality
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low-rank matrix
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multi-level factor model
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POET
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sparsity
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