Forecasting high-dimensional portfolios

DOI10.1515/JTSE-2023-0011MaRDI QIDQ6966557zbMATH OpenFDO

Authors Raffaele Mattera

Publication date 27 June 2025

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/JTSE-2023-0011

zbMATH Keywords

high-dimensional forecastinglarge dynamic covariancemachine learningportfolio selectionstock market

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A well-conditioned estimator for large-dimensional covariance matrices
• An Intertemporal Capital Asset Pricing Model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Common risk factors in the returns on stocks and bonds
• Comparing Possibly Misspecified Forecasts
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• Fitting Vast Dimensional Time-Varying Covariance Models
• Forecasting with Misspecified Models
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• Large Dynamic Covariance Matrices
• Multilayer feedforward networks are universal approximators
• Neural Network Models for Time Series Forecasts
• On the estimation of dynamic conditional correlation models
• Optimal ensemble averaging of neural networks

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