Forecasting Large Realized Covariance Matrices : The Benefits of Factor Models and Shrinkage
Year of publication: |
2018
|
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Authors: | Brito, Diego |
Other Persons: | Medeiros, Marcelo C. (contributor) ; Ribeiro, Ruy (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | Faktorenanalyse | Factor analysis | Theorie | Theory |
Extent: | 1 Online-Ressource (50 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 16, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3163668 [DOI] |
Classification: | C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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