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unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …
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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...
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unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …
Persistent link: https://www.econbiz.de/10012584099
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. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this …
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