Forecasting large covariance matrix with high-frequency data: A factor approach for the correlation matrix
We apply the factor approach to the correlation matrix to forecast large covariance matrix of asset returns using high-frequency data, using the principal component method to model the underlying latent factors of the correlation matrix. The realized variances are separately forecasted using the Het...
محفوظ في:
| المؤلفون الرئيسيون: | , |
|---|---|
| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2020
|
| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soe_research/2473 https://ink.library.smu.edu.sg/context/soe_research/article/3472/viewcontent/Forecasting_large_covar_matrix_2020_av.pdf |
| الوسوم: |
إضافة وسم
لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!
|