High-dimensional multivariate realized volatility estimation

Bollerslev, Tim, Meddahi, Nour and Nyawa Womo, Serge Luther (2019) High-dimensional multivariate realized volatility estimation. Journal of Econometrics, 212 (1). pp. 116-136.

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Official URL: http://tse-fr.eu/pub/123082
Item Type: Article
Language: English
Date: September 2019
Refereed: Yes
Uncontrolled Keywords: We provide a new factor-based estimator of the realized covolatility matrix, applicable in situations when the number of assets is large and the high-frequency data are contaminated with microstructure noises. Our estimator relies on the assumption of a f
JEL Classification: C13 - Estimation
C32 - Time-Series Models
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 07 Jun 2019 14:30
Last Modified: 22 Oct 2019 14:04
["eprint_fieldname_oai_identifier" not defined]: oai:tse-fr.eu:123082
URI: http://publications.ut-capitole.fr/id/eprint/32519

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