Forecasting volatility using double shrinkage methods
Mingmian Cheng, Norman R. Swanson, Xiye Yang
| Year of publication: |
2021
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|---|---|
| Authors: | Cheng, Mingmian ; Swanson, Norman R. ; Yang, Xiye |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 62.2021, p. 46-61
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| Subject: | Forecasting | High-frequency and large dimensional data | Latent volatility factor | Shrinkage | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Schätztheorie | Estimation theory | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2021.01.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012693319