Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Year of publication: |
2019
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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
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Subject: | Factor model | GARCH | Low-rank | POET | Quasi-maximum likelihood estimator | Sparsity | Volatilität | Volatility | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Börsenkurs | Share price |
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