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~subject:"Korrelation"
~subject:"long memory"
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian
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2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional
realized
covariance matrices of … empirical application to 5-dimensional and 30-dimensional
realized
covariance matrices of daily New York Stock Exchange (NYSE …
Persistent link: https://www.econbiz.de/10010341025
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