Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
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Publication:1739867
DOI10.1016/j.jeconom.2018.10.003zbMath1452.62774OpenAlexW2777209651MaRDI QIDQ1739867
Publication date: 29 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.10.003
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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