Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory (Q844582)
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scientific article; zbMATH DE number 5660206
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| English | Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory |
scientific article; zbMATH DE number 5660206 |
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Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory (English)
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19 January 2010
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correlation estimation
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random matrix theory
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noise filtering
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multivariate volatility forecasts
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0.7996372580528259
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0.7787936925888062
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0.765721321105957
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0.7589572072029114
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0.7521801590919495
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