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Title: Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Award ID(s):
1712591
PAR ID:
10091878
Author(s) / Creator(s):
;
Date Published:
Journal Name:
Journal of Econometrics
Volume:
208
Issue:
2
ISSN:
0304-4076
Page Range / eLocation ID:
395 to 417
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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