Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility

  • Chung Eun Lee, Xiaofeng Shao
  • Journal of Business and Economic Statistics, April 2018, Taylor & Francis
  • DOI: 10.1080/07350015.2018.1458621

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http://dx.doi.org/10.1080/07350015.2018.1458621