High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of … motivates theoretical reasons to derive the weights of the elementary indicators in a composite index when multiple components …

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data …. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under …