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~subject:"Factor Model"
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Factor Model
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Asai, Manabu
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McAleer, Michael
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1
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in
Realized
Covariance
Asai, Manabu
;
McAleer, Michael
-
2014
forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for
realized
covariance measures …
Persistent link: https://www.econbiz.de/10010377197
Saved in:
2
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in
Realized
Covariance
Asai, Manabu
;
McAleer, Michael
-
Tinbergen Instituut
-
2014
forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for
realized
covariance measures …
Persistent link: https://www.econbiz.de/10011272593
Saved in:
3
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in
Realized
Covariance
Asai, Manabu
;
McAleer, Michael
-
Facultad de Ciencias Económicas y Empresariales, …
-
2014
forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for
realized
covariance measures …
Persistent link: https://www.econbiz.de/10011162551
Saved in:
4
The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Malec, Peter
-
2011
allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked
realized
kernel …
Persistent link: https://www.econbiz.de/10010308574
Saved in:
5
The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Malec, Peter
-
Center for Financial Studies
-
2011
allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked
realized
kernel …
Persistent link: https://www.econbiz.de/10010958793
Saved in:
6
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in
Realized
Covariance
Asai, Manabu
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2014
forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for
realized
covariance measures …
Persistent link: https://www.econbiz.de/10010907411
Saved in:
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