Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
Yingjie Dong, Yiu-Kuen Tse
| Year of publication: |
2020
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|---|---|
| Authors: | Dong, Yingjie ; Tse, Yiu Kuen |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 195.2020, p. 1-4
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| Subject: | Factor model | Dimension reduction | Eigenanalysis | High-frequency data | Large correlation matrix | Nonlinear shrinkage | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Faktorenanalyse | Factor analysis | Lineare Algebra | Linear algebra | Schätztheorie | Estimation theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2020.109465 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012509995