Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix

DOI10.1016/j.econlet.2020.109465zbMath1451.91174OpenAlexW3048253832MaRDI QIDQ2208902

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

zbMATH Keywords

dimension reductionhigh-frequency datafactor modelnonlinear shrinkageeigenanalysislarge correlation matrix

Mathematics Subject Classification ID

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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