Factor high-frequency based volatility (HEAVY) models
We propose a new class of multivariate volatility models utilizing realized measures of asset volatility and covolatility extracted from high-frequency data. Dimension reduction for estimation of large covariance matrices is achieved by imposing a factor structure with time-varying conditional fact...
| প্রধান লেখক: | , |
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| বিন্যাস: | Working paper |
| প্রকাশিত: |
University of Oxford
2014
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