Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance |
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (English)
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30 October 2015
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dimension reduction
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factor model
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multivariate stochastic volatility
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leverage effects
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long memory
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realized volatility
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