Modeling Multivariate Volatilities via Latent Common Factors (2016)

First Author: Li W
Attributed to:  Modelling Vast Time Series: Sparsity and Segmentation funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/07350015.2015.1092975

Publication URI: http://dx.doi.org/10.1080/07350015.2015.1092975

Type: Journal Article/Review

Parent Publication: Journal of Business & Economic Statistics

Issue: 4