Multivariate realized volatility: an analysis via shrinkage methods for Brazilian market data
IntroductionRealized volatility analysis of assets in the Brazilian market within a multivariate framework is the focus of this study. Despite the success of volatility models in univariate scenarios, challenges arise due to increasing dimensionality of covariance matrices and lower asset liquidity...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2024-04-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fams.2024.1379891/full |