NSS_appendix.pdf
Creators:
Diaa Noureldin
;
Neil Shephard
;
Kevin Sheppard
From the dataset abstract
This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from multivariate...
Source: Multivariate high-frequency-based volatility (HEAVY) models (replication data)
Metadata
| Field | Value |
|---|---|
| Format | application/pdf |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/2552fa08-3906-436f-a040-d5660a25acda/resource/f7b7f1d4-6bec-4c24-901c-12415487af43/download/nss_appendix.pdf |
| Last updated | November 16, 2022 |
| Created | November 16, 2022 |
