Large dimensional portfolio allocation based on a mixed frequency dynamic factor model

DOI10.1080/07474938.2021.1983327MaRDI QIDQ5095203zbMATH OpenOpenAlexFDO

Authors Siyang Peng, Shao-Jun Guo, Yong-Hong Long

Publication date 5 August 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2021.1983327

zbMATH Keywords

dynamic structurehigh frequency regressionMarkowitz's portfolio allocationmixed-frequency factor modelsvolatility forecasting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A scalar dynamic conditional correlation model: structure and estimation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Estimating covariation: Epps effect, microstructure noise
• Generalized autoregressive conditional heteroscedasticity
• High dimensional covariance matrix estimation using a factor model
• High-frequency factor models and regressions
• Large volatility matrix inference via combining low-frequency and high-frequency approaches
• Large-dimensional factor modeling based on high-frequency observations
• On covariance estimation of non-synchronously observed diffusion processes
• Realized Volatility: A Review

Cited in

(3)

• Large portfolio allocation using high-frequency financial data
• Regularized factor portfolio for cross-sectional multifactor models
• A simple realized factor-based portfolio: improving minimum variance portfolio performance by incorporating low-frequency betas

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