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"Estimating Factor Models for Multivariate Volatilities: An Innovation ..."

Jiazhu Pan, Wolfgang Polonik, Qiwei Yao (2010)

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DOI: 10.1007/978-3-7908-2604-3_28

access: closed

type: Conference or Workshop Paper

metadata version: 2020-10-25

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  dblp key:
  - conf/compstat/PanPY10
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Jiazhu Pan, Wolfgang Polonik, Qiwei Yao:
Estimating Factor Models for Multivariate Volatilities: An Innovation Expansion Method. COMPSTAT 2010: 305-314

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