Forecasting high-dimensional realized volatility matrices using a factor model (Q4957246)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Forecasting high-dimensional realized volatility matrices using a factor model |
scientific article; zbMATH DE number 7390946
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Forecasting high-dimensional realized volatility matrices using a factor model |
scientific article; zbMATH DE number 7390946 |
Statements
Forecasting high-dimensional realized volatility matrices using a factor model (English)
0 references
3 September 2021
0 references
high-dimension
0 references
high-frequency
0 references
realized covariance matrices
0 references
factor model
0 references
Wishart distribution
0 references
0 references
0 references
0 references
0 references
0 references
0.8471116423606873
0 references
0.8407802581787109
0 references
0.8199872374534607
0 references
0.8152616620063782
0 references
0.812728762626648
0 references
