Multiplicative factor model for volatility

DOI10.1016/J.JECONOM.2025.105959MaRDI QIDQ6969785zbMATH OpenFDO

Authors Yi Ding, Robert D. Engle, Yingying Li, Xinghua Zheng

Publication date 19 June 2025

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

factor modelprincipal component analysishigh-frequency datavolatility modelinghigh-dimension

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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