High-dimensional covariance forecasting for short intra-day horizons (Q3064018)
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scientific article; zbMATH DE number 5827878
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | High-dimensional covariance forecasting for short intra-day horizons |
scientific article; zbMATH DE number 5827878 |
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High-dimensional covariance forecasting for short intra-day horizons (English)
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20 December 2010
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vast covariance matrices
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forecast evaluation
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market microstructure
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factor models
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0.8715407
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0.86461055
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0.83906764
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0.8388274
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0.83624804
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0.8356603
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