A simple method for predicting covariance matrices of financial returns

Kasper Johansson, Mehmet G. Ogut, Markus Pelger, Thomas Schmelzer, Stephen Boyd

A Simple Method for Predicting Covariance Matrices of Financial Returns makes three contributions. It proposes a new method for predicting the time-varying covariance matrix of a vector of financial returns and a new method for evaluating a covariance predictor. The third contribution is an extensive empirical study of covariance predictors

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Year of publication:	2023
Authors:	Johansson, Kasper ; Boyd, Stephen ; Ogut, Mehmet G. ; Pelger, Markus ; Schmelzer, Thomas
Publisher:	Hanover : now
Subject:	Korrelation \| Correlation \| Prognoseverfahren \| Forecasting model \| Kapitaleinkommen \| Capital income \| Theorie \| Theory
Description of contents:	Description [dietmardreier.de]

Extent:	90 Seiten Illustrationen
Series:	Foundations and trends in econometrics. - Boston, Mass. [u.a.] : now, ISSN 1551-3076, ZDB-ID 2394444-4. - Vol. volume 12, issue 4 (2023)
Type of publication:	Book / Working Paper
Language:	English
Notes:	1. Introduction2. Some Common Covariance Predictors3. Combined Multiple Iterated EWMAs4. Evaluating Covariance Predictors5. Data Sets and Experimental Setup6. Results7. Realized Covariance8. Large Universes9. Smooth Covariance Predictions10. Simulating Returns11. ConclusionsAcknowledgementsReferences
ISBN:	978-1-63828-308-9
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014504758