Showing 1 - 10 of 8,791
Persistent link: https://www.econbiz.de/10014366655
Persistent link: https://www.econbiz.de/10014232686
Persistent link: https://www.econbiz.de/10014340639
Persistent link: https://www.econbiz.de/10014340952
Persistent link: https://www.econbiz.de/10013262931
Persistent link: https://www.econbiz.de/10009673531
Persistent link: https://www.econbiz.de/10010188619
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
Persistent link: https://www.econbiz.de/10011474597
Persistent link: https://www.econbiz.de/10011413287