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

Chung Eun Lee, Xiaofeng Shao

Research output: Contribution to journalArticlepeer-review

Fingerprint Dive into the research topics of 'Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility'. Together they form a unique fingerprint.

Mathematics

Business & Economics

Social Sciences