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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
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 |
