Large volatility matrix analysis using global and national factor models

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

zbMATH Keywords

POETsparsityhigh-dimensionalitylow-rank matrixmulti-level factor model

Mathematics Subject Classification ID

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

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