SSRNEconometrics & Forecasting
Overnight GARCH-Itô Models
The paper presents a unified factor overnight GARCH-Itô Models model for estimating and predicting large volatility matrices, suggesting a weighted least squares estimation procedure with a nonparametric factor volatility estimator.
Featured in No. 10 on 2 Aug 2023 ·
- Released
- 31 Jan 2023
- First featured
- No. 10 · 2 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4523600
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