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