Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10015393683
This paper introduces a unified factor overnight GARCH-Itô Models model for large volatility matrix estimation and prediction. To account for whole-day market dynamics, the proposed model has two different instantaneous factor volatility processes for the open-to-close and close-to-open...
Persistent link: https://www.econbiz.de/10014255817