Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
Year of publication: |
2020
|
---|---|
Authors: | Dong, Yingjie ; Tse, Yiu Kuen |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 195.2020, p. 1-4
|
Subject: | Factor model | Dimension reduction | Eigenanalysis | High-frequency data | Large correlation matrix | Nonlinear shrinkage | Korrelation | Correlation | Theorie | Theory | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Faktorenanalyse | Factor analysis | Volatilität | Volatility | Lineare Algebra | Linear algebra |
-
Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren, (2020)
-
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu, (2014)
-
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu, (2015)
- More ...
-
Tse, Yiu Kuen, (2014)
-
Yip, Paul S. L., (2017)
-
On estimating market microstructure noise variance
Dong, Yingjie, (2017)
- More ...