Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
type: Item
instance of: scholarly article
title: Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
zbMATH Open document ID: 1452.62774
author: Donggyu Kim
author: Jianqing Fan
published in: Journal of Econometrics
publication date: 2019-04-29T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H25
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7048559
zbMATH Keywords: factor model
zbMATH Keywords: GARCH
zbMATH Keywords: low-rank
zbMATH Keywords: POET
zbMATH Keywords: quasi-maximum likelihood estimator
zbMATH Keywords: sparsity
MaRDI profile type: Publication
full work available at URL: j.jeconom.2018.10.003
OpenAlex ID: W2777209651
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DOI: 10.1016/J.JECONOM.2018.10.003
description: scientific article; zbMATH DE number 7048559