Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
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Publication:2208902
DOI10.1016/j.econlet.2020.109465zbMath1451.91174OpenAlexW3048253832MaRDI QIDQ2208902
Publication date: 4 November 2020
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2473
dimension reductionhigh-frequency datafactor modelnonlinear shrinkageeigenanalysislarge correlation matrix
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- On the distribution of the largest eigenvalue in principal components analysis
- Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
- An overview of the estimation of large covariance and precision matrices
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- A Tale of Two Time Scales
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