Forecasting high-dimensional realized volatility matrices using a factor model
Year of publication: |
2020
|
---|---|
Authors: | Shen, Keren ; Yao, Jianfeng ; Li, Wai Keung |
Subject: | Factor model | High-dimension | High-frequency | Realized covariance matrices | Wishart distribution | Volatilität | Volatility | Korrelation | Correlation | Faktorenanalyse | Factor analysis | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Lineare Algebra | Linear algebra | Varianzanalyse | Analysis of variance | Schätzung | Estimation | Portfolio-Management | Portfolio selection |
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