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Dynamic factor long memory volatility - MaRDI portal

Dynamic factor long memory volatility (Q4555133)

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scientific article; zbMATH DE number 6981252
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English
Dynamic factor long memory volatility
scientific article; zbMATH DE number 6981252

    Statements

    title
    Dynamic factor long memory volatility (English)
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    author
    Richard D. F. Harris
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    Anh T. H. Nguyen
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    publication date
    19 November 2018
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    zbMATH Keywords
    finance
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    conditional variance-covariance matrix
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    long memory
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    factor models
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    volatility timing
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    Identifiers

    zbMATH DE Number
    6981252
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    OpenAlex ID
    W2554377306
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