Forecasting large realized covariance matrices : the benefits of factor models and shrinkage
Year of publication: |
2024
|
---|---|
Authors: | Alves, Rafael P. ; Brito, Diego S. de ; Medeiros, Marcelo C. ; Ribeiro, Ruy M. |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 3, p. 696-742
|
Subject: | big data | factor models | forecasting | LASSO | machine learning | portfolio allocation | realized covariance | shrinkage | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Modellierung | Scientific modelling | Theorie | Theory | Varianzanalyse | Analysis of variance |
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