Principal volatility component analysis
Year of publication: |
2014
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Authors: | Hu, Yu-Pin ; Tsay, Ruey S. |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 32.2014, 2, p. 153-177
|
Subject: | Common volatility component | Conditional heteroscedasticity | Foreign exchange rate | Generalized covariance matrix | Generalized kurtosis matrix | Principal component analysis | Volatilität | Volatility | Wechselkurs | Exchange rate | Korrelation | Correlation | ARCH-Modell | ARCH model | Hauptkomponentenanalyse | Schätztheorie | Estimation theory |
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