Large volatility matrix analysis using global and national factor models
Sung Hoon Choi, Donggyu Kim
| Year of publication: |
2023
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|---|---|
| Authors: | Choi, Sung Hoon ; Kim, Donggyu |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 235.2023, 2, p. 1917-1933
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| Subject: | High-dimensionality | Low-rank matrix | Multi-level factor model | POET | Sparsity | Volatilität | Volatility | Faktorenanalyse | Factor analysis | Theorie | Theory | Lineare Algebra | Linear algebra | Globalisierung | Globalization |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.02.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014471436