Dynamic factor long memory volatility

DOI10.1080/14697688.2016.1260757zbMath1402.91700OpenAlexW2554377306MaRDI QIDQ4555133

Richard D. F. Harris, Anh T. H. Nguyen

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1983/5530f442-910e-4408-be45-e1cb97908505

zbMATH Keywords

long memoryfinancefactor modelsvolatility timingconditional variance-covariance matrix

Mathematics Subject Classification ID

Portfolio theory (91G10)

Uses Software

• RiskMetrics

Cites Work

• Unnamed Item
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• Determining the Number of Factors in Approximate Factor Models
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• The Generalized Dynamic Factor Model

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