Outlier-robust methods for forecasting realized covariance matrices
Dan Li, Christopher Drovandi, Adam Clements
| Year of publication: |
2024
|
|---|---|
| Authors: | Li, Dan ; Drovandi, Christopher ; Clements, Adam |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 40.2024, 1, p. 392-408
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| Subject: | HAR | Least-trimmed squares estimator | Minimum covariance determinant | Multivariate regression | Multivariate volatility | Portfolio allocation | Volatilität | Volatility | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Multivariate Analyse | Multivariate analysis | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | 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: | 10.1016/j.ijforecast.2023.04.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014450278