A latent dynamic factor approach to forecasting multivariate stock market volatility
Year of publication: |
September 2018
|
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Authors: | Gribisch, Bastian |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 55.2018, 2, p. 621-651
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Subject: | Latent factor models | Covariance matrix | Matrix logarithm | Realized volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Aktienmarkt | Stock market | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Faktorenanalyse | Factor analysis | Korrelation | Correlation | Schätzung | Estimation | Portfolio-Management | Portfolio selection |
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