Large-dimensional portfolio selection with a high-frequency-based dynamic factor model
Simon T. Bodilsen
| Year of publication: |
2025
|
|---|---|
| Authors: | Tranberg Bodilsen, Simon |
| Subject: | big data | hierarchical clustering | high-frequency data | minimum variance portfolio | multivariate volatility | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Theorie | Theory | Big Data | Big data | Varianzanalyse | Analysis of variance | ARCH-Modell | ARCH model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Prognoseverfahren | Forecasting model | Faktorenanalyse | Factor analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbae018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015339181