Showing 1 - 10 of 804,450
Persistent link: https://www.econbiz.de/10002597955
Persistent link: https://www.econbiz.de/10014310363
Persistent link: https://www.econbiz.de/10010193477
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/10011949857
Persistent link: https://www.econbiz.de/10011920525
Persistent link: https://www.econbiz.de/10011692411
Persistent link: https://www.econbiz.de/10012301117
Persistent link: https://www.econbiz.de/10012806600
Persistent link: https://www.econbiz.de/10015339181