Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management

Mike K.P. So, Thomas W.C. Chan, Amanda M.Y. Chu

Year of publication:	2022
Authors:	So, Mike Ka-pui ; Chan, Thomas W. C. ; Chu, Amanda M. Y.
Published in:	Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 1, p. 151-167
Subject:	Dynamic covariance modeling \| Dynamic mapping \| Multivariate GARCH \| Risk contribution \| Tail risk \| ARCH-Modell \| ARCH model \| Risiko \| Risk \| Korrelation \| Correlation \| Risikomanagement \| Risk management \| Portfolio-Management \| Portfolio selection \| Volatilität \| Volatility \| Risikomaß \| Risk measure \| Schätztheorie \| Estimation theory \| CAPM \| Schätzung \| Estimation \| Multivariate Analyse \| Multivariate analysis

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