Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility

DOI10.1080/07350015.2018.1458621zbMath1547.62815MaRDI QIDQ6626286

Publication date: 28 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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