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A comparative study on large multivariate volatility matrix modeling for high-frequency financial data

Stichwort:

high-frequency financial data, ARVM, and DCC

Schöpfer:

Jiang, Dongchen

Advisor:

Zou, Jian

Herausgeber:

Worcester Polytechnic Institute

Datum erstellt:

2015-04-30

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences