Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
DOI10.1016/J.ECONLET.2020.109465zbMATH Open1451.91174OpenAlexW3048253832MaRDI QIDQ2208902FDOQ2208902
Authors: Yingjie Dong, Yiu Kuen Tse 
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
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dimension reductionfactor modeleigenanalysisnonlinear shrinkagehigh-frequency datalarge correlation matrix
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- 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
- A Tale of Two Time Scales
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