Estimation of high dimensional portfolio risk

MaRDI QIDQ5382069zbMATH OpenFDO

Authors L. Liu

Publication date 21 June 2019

zbMATH Keywords

BEKK-NS modelcovariance matrixhigh-dimensional portfoliosnonlinear shrinkage methodQuEST function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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(2)

• Nonlinear volatility risk prediction algorithm of financial data based on improved deep learning
• A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data

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