Large dimensional portfolio allocation based on a mixed frequency dynamic factor model (Q5095203)
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scientific article; zbMATH DE number 7568838
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| English | Large dimensional portfolio allocation based on a mixed frequency dynamic factor model |
scientific article; zbMATH DE number 7568838 |
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Large dimensional portfolio allocation based on a mixed frequency dynamic factor model (English)
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5 August 2022
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dynamic structure
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high frequency regression
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Markowitz's portfolio allocation
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mixed-frequency factor models
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volatility forecasting
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