Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
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Publication:2208902
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Cites work
- A Tale of Two Time Scales
- An overview of the estimation of large covariance and precision matrices
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Large volatility matrix inference via combining low-frequency and high-frequency approaches
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- On the distribution of the largest eigenvalue in principal components analysis
Cited in
(8)- Comparing unconstrained parametrization methods for return covariance matrix prediction
- An integrated framework for visualizing and forecasting realized covariance matrices
- Forecasting high-dimensional realized volatility matrices using a factor model
- High-dimensional covariance forecasting for short intra-day horizons
- Dynamic modeling of high-dimensional correlation matrices in finance
- Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach
- Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades
- Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
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