Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
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Publication:5312584
DOI10.1080/1350486042000255861zbMath1162.91382OpenAlexW2081248568MaRDI QIDQ5312584
Maria Elvira Mancino, Roberto Renò
Publication date: 1 September 2005
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486042000255861
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Cites Work
- Fourier series method for measurement of multivariate volatilities
- ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
- Modeling and Forecasting Realized Volatility
- A CLOSER LOOK AT THE EPPS EFFECT
- On measuring volatility of diffusion processes with high frequency data
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