A Factor-GARCH Model for High Dimensional Volatilities
Xiao-ling LI, Yuan LI, Jia-zhu PAN, Xing-fa ZHANG
A Factor-GARCH Model for High Dimensional Volatilities
Xiao-ling LI, Yuan LI, Jia-zhu PAN, Xing-fa ZHANG
应用数学学报(英文版)
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2022, (3): 635
-663
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DOI: 10.1007/s10255-022-1104-6
