Factor overnight GARCH-Itô models
Donggyu Kim, Minseog Oh, Xinyu Song and Yazhen Wang
| Year of publication: |
2024
|
|---|---|
| Authors: | Kim, Donggyu ; Oh, Minseog ; Song, Xinyu ; Wang, Yazhen |
| Subject: | Factor model | High dimensionality | POET | Quasi-maximum likelihood estimation | Realized volatility matrix estimator | Overnight risk | Volatilität | Volatility | Faktorenanalyse | Factor analysis | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015338787