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volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …
Persistent link: https://www.econbiz.de/10010318771
volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …
Persistent link: https://www.econbiz.de/10010607150
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10003727490
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10010274146
Persistent link: https://www.econbiz.de/10014366655
forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …
Persistent link: https://www.econbiz.de/10010259630
Persistent link: https://www.econbiz.de/10010344461
Persistent link: https://www.econbiz.de/10011815225
Persistent link: https://www.econbiz.de/10013257759
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10005677907