Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
Year of publication: |
2023
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Authors: | Hartkopf, Jan Patrick |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 64.2023, 1, p. 393-436
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Subject: | Composite prediction | Factor model | Realized covariance | State-space model | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Varianzanalyse | Analysis of variance | Faktorenanalyse | Factor analysis | Modellierung | Scientific modelling | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
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