Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix (Q2208902)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix |
scientific article |
Statements
Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix (English)
0 references
4 November 2020
0 references
large correlation matrix
0 references
nonlinear shrinkage
0 references
dimension reduction
0 references
eigenanalysis
0 references
factor model
0 references
high-frequency data
0 references
0 references
