Showing 1 - 3 of 3
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...
Persistent link: https://www.econbiz.de/10011256058
, shrinkage and forecast combinations. …
Persistent link: https://www.econbiz.de/10011257447
latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the …
Persistent link: https://www.econbiz.de/10011257599