Forecasting high-dimensional realized volatility matrices using a factor model
Year of publication: |
2020
|
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Authors: | Shen, Keren ; Yao, Jianfeng ; Li, Wai Keung |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 11, p. 1879-1887
|
Subject: | Factor model | High-dimension | High-frequency | Realized covariance matrices | Wishart distribution | Volatilität | Volatility | Korrelation | Correlation | Faktorenanalyse | Factor analysis | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Schätzung | Estimation | Varianzanalyse | Analysis of variance |
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