Graph-based methods for forecasting realized covariances
Chao Zhang, Xingyue Pu, Mihai Cucuringu and Xiaowen Dong
| Year of publication: |
2025
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|---|---|
| Authors: | Zhang, Chao ; Pu, Xingyue ; Cucuringu, Mihai ; Dong, Xiaowen |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 23.2025, 2, Art.-No. nbae026, p. 1-33
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| Subject: | realized covariance | HAR | graphical LASSO | line graph | graph learning | Korrelation | Correlation | Graphentheorie | Graph theory | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbae026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015339744