Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Siyang Peng, Shaojun Guo, and Yonghong Long
| Year of publication: |
2022
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|---|---|
| Authors: | Peng, Siyang ; Shaojun, Guo ; Long, Yonghong |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 41.2022, 5, p. 539-563
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| Subject: | Dynamic structure | high frequency regression | Markowitz's portfolio allocation | mixed-frequency factor models | volatility forecasting | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Theorie | Theory | Prognoseverfahren | Forecasting model | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2021.1983327 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013364893