SSRNTrading, Microstructure & Execution
FIVAR-Ito Model for High-Frequency Data
The article introduces the FIVARIto model, a new Ito diffusion process for predicting large volatility matrices and portfolio allocation.
Featured in No. 12 on 17 Aug 2023 ·
- Released
- 13 Sep 2021
- First featured
- No. 12 · 17 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4537927
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