Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- ISSN
-
1435-8921
- Umfang
-
Online-Ressource
- Sprache
-
Englisch
- Anmerkungen
-
online resource.
- Erschienen in
-
Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models ; day:5 ; month:5 ; year:2022 ; pages:1-44
Empirical economics ; (5.5.2022), 1-44
- Klassifikation
-
Wirtschaft
- Urheber
- Beteiligte Personen und Organisationen
-
SpringerLink (Online service)
- DOI
-
10.1007/s00181-022-02245-1
- URN
-
urn:nbn:de:101:1-2022071319261082195038
- Rechteinformation
-
Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
15.08.2025, 07:37 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
- Hartkopf, Jan Patrick
- SpringerLink (Online service)
Ähnliche Objekte (12)
Modeling and Forecasting of Realized Covariance Matrices of Asset Returns using State-Space Models
Modelling and Forecasting of Realized Covariance Matrices
Dynamic Modelling and Forecasting of Realized Covariance Matrices
Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
Correction to: An integrated framework for visualizing and forecasting realized covariance matrices
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
Modelling and forecasting multivariate realized volatility
Modelling and Forecasting Multivariate Realized Volatility
Modelling and forecasting multivariate realized volatility
Singular conditional autoregressive Wishart model for realized covariance matrices
Modeling and forecasting realized portfolio diversification benefits
Modeling and Forecasting of Realized Covariance Matrices of Asset Returns using State-Space Models
Modelling and Forecasting of Realized Covariance Matrices
Dynamic Modelling and Forecasting of Realized Covariance Matrices
Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
Correction to: An integrated framework for visualizing and forecasting realized covariance matrices
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
Modelling and forecasting multivariate realized volatility
Modelling and Forecasting Multivariate Realized Volatility
Modelling and forecasting multivariate realized volatility
Singular conditional autoregressive Wishart model for realized covariance matrices
Modeling and forecasting realized portfolio diversification benefits
Modeling and Forecasting of Realized Covariance Matrices of Asset Returns using State-Space Models
Modelling and Forecasting of Realized Covariance Matrices
Dynamic Modelling and Forecasting of Realized Covariance Matrices
Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
Correction to: An integrated framework for visualizing and forecasting realized covariance matrices
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
Modelling and forecasting multivariate realized volatility
Modelling and Forecasting Multivariate Realized Volatility
Modelling and forecasting multivariate realized volatility
Singular conditional autoregressive Wishart model for realized covariance matrices