High-dimensional covariance forecasting based on principal component analysis of high-frequency data
Zhihong Jian, Pingjun Deng, Zhican Zhu
| Year of publication: |
2018
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|---|---|
| Authors: | Jian, Zhihong ; Deng, Pingjun ; Zhu, Zhican |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 75.2018, p. 422-431
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| Subject: | Covariance forecasting | Heterogeneous autoregressive | High-dimensional data | High-frequency data | Principal component analysis | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Hauptkomponentenanalyse | Theorie | Theory | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2018.07.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012101548