Large volatility matrix inference via combining low-frequency and high-frequency approaches
Year of publication: |
2011-09
|
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Authors: | Tao, Minjing ; Wang, Yahzen ; Yao, Qiwei ; Zou, Jian |
Institutions: | London School of Economics (LSE) |
Subject: | dimension reduction | eigenanalysis | factor model | matrix process | realized volatilities | vector autoregressive model |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Journal of the American Statistical Association, September, 2011, 106(495), pp. 1025-1040. ISSN: 0162-1459 |
Classification: | C1 - Econometric and Statistical Methods: General |
Source: |
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