Dynamic principal component analysis of multivariate volatility via fourier analysis

Applied Mathematical Finance

Volumn 12, Issue 2, 2005, Pages 187-199

  Mancino, Maria Elvira ^a   Renò, Roberto ^b  

^a UNIVERSITY OF FLORENCE   (Italy)

^b UNIVERSITY OF SIENA   (Italy)

Author keywords

Cross volatilities; Dynamic principal component analysis; Fourier series

Indexed keywords

EID: 22144459799     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350486042000255861     Document Type: Article

References (16)

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