Work

Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns

Year: 2018

Type: article

Source: Journal of Empirical Finance

DOI: 10.1016/j.jempfin.2019.08.003

Authors: Bastian Gribisch, Jan Patrick Hartkopf, Roman Liesenfeld

Institution: University of Cologne

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2969033424

FWCI: 1.984

Cites: 71

Cited by: 20

Related to: 10