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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Identification Number : 10.1016/j.jeconom.2019.04.023
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
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 07 Jun 2019 14:30
Last Modified: 27 Oct 2021 13:37
OAI Identifier: oai:tse-fr.eu:123082
URI: https://publications.ut-capitole.fr/id/eprint/32519
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