Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns
Year of publication: |
2018
|
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Authors: | Gribisch, Bastian |
Other Persons: | Hartkopf, Jan Patrick (contributor) ; Liesenfeld, Roman (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Korrelation | Correlation | Kapitaleinkommen | Capital income | Zustandsraummodell | State space model | Varianzanalyse | Analysis of variance | CAPM | Kapitalmarktrendite | Capital market returns | Modellierung | Scientific modelling |
Extent: | 1 Online-Ressource (46 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 13, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3283742 [DOI] |
Classification: | C32 - Time-Series Models ; c38 ; C51 - Model Construction and Estimation ; c58 ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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