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"Unified discrete-time factor stochastic volatility and continuous-time ..."

Donggyu Kim, Xinyu Song, Yazhen Wang (2022)

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DOI: 10.1016/j.jmva.2022.105091

access: closed

type: Journal Article

metadata version: 2022-12-04

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Donggyu Kim, Xinyu Song, Yazhen Wang:
Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency. J. Multivar. Anal. 192: 105091 (2022)

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