Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix (Q2208902)
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scientific article; zbMATH DE number 7270008
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| English | Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix |
scientific article; zbMATH DE number 7270008 |
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Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix (English)
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4 November 2020
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large correlation matrix
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nonlinear shrinkage
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dimension reduction
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eigenanalysis
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factor model
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high-frequency data
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0.8471116423606873
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0.8027027249336243
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0.8026872277259827
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0.7959074378013611
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0.7897137999534607
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