Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
Jan Patrick Hartkopf
| Year of publication: |
2023
|
|---|---|
| Authors: | Hartkopf, Jan Patrick |
| Subject: | Composite prediction | Factor model | Realized covariance | State-space model | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Faktorenanalyse | Factor analysis | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Portfolio-Management | Portfolio selection |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-022-02245-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014226292