Factor state-space models for high-dimensional realized covariance matrices of asset returns
Bastian Gribisch, Jan Patrick Hartkopf, Roman Liesenfeld
| Year of publication: |
2020
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|---|---|
| Authors: | Gribisch, Bastian ; Hartkopf, Jan Patrick ; Liesenfeld, Roman |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 55.2020, p. 1-20
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| Subject: | Factor model | Realized covariance | State-space model | Bayesian inference | Wishart distribution | Korrelation | Correlation | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Bayes-Statistik | Schätztheorie | Estimation theory | Zustandsraummodell | State space model | Varianzanalyse | Analysis of variance | CAPM | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2019.08.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012175249