A latent dynamic factor approach to forecasting multivariate stock market volatility
Bastian Gribisch
| 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 | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Börsenkurs | Share price | Aktienmarkt | Stock market | Schätzung | Estimation | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-017-1278-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011949857