Forecasting high-dimensional realized volatility matrices using a factor model
Keren Shen, Jianfeng Yao and Wai Keung Li
| 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
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| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1473632 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012295649