Unrestricted maximum likelihood estimation of multivariate realized volatility models
type: Item
instance of: scholarly article
title: Unrestricted maximum likelihood estimation of multivariate realized volatility models
author: Jan Vogler
author: Vasyl Golosnoy
published in: European Journal of Operational Research
publication date: 2022-09-29T00:00:00Z
Mathematics Subject Classification ID: 90Bxx
zbMATH DE Number: 7594686
zbMATH Keywords: large scale optimization
zbMATH Keywords: dynamic covariance models
zbMATH Keywords: financial portfolios
zbMATH Keywords: high-dimensional optimization
zbMATH Keywords: realized covariance matrix
MaRDI profile type: Publication
full work available at URL: j.ejor.2022.05.029
OpenAlex ID: W4280526685
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DOI: 10.1016/J.EJOR.2022.05.029
description: scientific article; zbMATH DE number 7594686