Factor and Idiosyncratic VAR Volatility Matrix Models for Heavy-Tailed High-Frequency Financial Observations

Fuente: arXiv

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Bibliographic Details
Main Authors:	Shin, Minseok, Kim, Donggyu, Wang, Yazhen, Fan, Jianqing
Format:	Preprint
Published:	2021
Subjects:	Methodology
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2109.05227