Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance |
scientific article; zbMATH DE number 6502474
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance |
scientific article; zbMATH DE number 6502474 |
Statements
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (English)
0 references
30 October 2015
0 references
dimension reduction
0 references
factor model
0 references
multivariate stochastic volatility
0 references
leverage effects
0 references
long memory
0 references
realized volatility
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
