Dynamic principal component CAW models for high-dimensional realized covariance matrices
Year of publication: |
2020
|
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Authors: | Gribisch, Bastian ; Stollenwerk, Michael |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 5, p. 799-821
|
Subject: | Covariance matrix | Realized volatility | Spectral decomposition | Time-series models | Korrelation | Correlation | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Varianzanalyse | Analysis of variance | Kapitaleinkommen | Capital income | Lineare Algebra | Linear algebra |
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