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Quantitative Finance 2018 / 06

Forecasting high-dimensional realized volatility matrices using a factor model

Shen, Keren, Yao, Jianfeng, Li, Wai Keung
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Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2018.1473632
Date:
June, 2018
File:
PDF, 437 KB
english, 2018
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