Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Donggyu Kim, Jianqing Fan
| Year of publication: |
2019
|
|---|---|
| Authors: | Kim, Donggyu ; Fan, Jianqing |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 208.2019, 2, p. 395-417
|
| Subject: | Factor model | GARCH | Low-rank | POET | Quasi-maximum likelihood estimator | Sparsity | Schätzung | Estimation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012145042