Forecasting large realized covariance matrices : the benefits of factor models and shrinkage
Rafael P. Alves, Diego S. de Brito, Marcelo C. Medeiros, and Ruy M. Ribeiro
| Year of publication: |
2024
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| Authors: | Alves, Rafael P. ; Brito, Diego S. de ; Medeiros, Marcelo C. ; Ribeiro, Ruy Monteiro |
| Subject: | big data | factor models | forecasting | LASSO | machine learning | portfolio allocation | realized covariance | shrinkage | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Künstliche Intelligenz | Artificial intelligence | Big Data | Big data | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015045177