Large volatility matrix analysis using global and national factor models

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Publication:6108334

DOI10.1016/j.jeconom.2023.02.004arXiv2208.12323OpenAlexW4323538678MaRDI QIDQ6108334

Donggyu Kim, Sung Hoon Choi

Publication date: 29 June 2023

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

Full work available at URL: https://arxiv.org/abs/2208.12323






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