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~isPartOf:"Working paper series / University of Zurich, Department of Economics"
~person:"Engle, Robert F."
~subject:"Börsenkurs"
~subject:"Schätzung"
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2022
-
This version: January 2022
Multivariate
GARCH
models do not perform well in large dimensions due to the so-called curse of dimensionality. The …
Persistent link: https://www.econbiz.de/10013040932
Saved in:
2
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2021
-
This version: June 2021
Multivariate
GARCH
models do not perform well in large dimensions due to the so-called curse of dimensionality. The …
Persistent link: https://www.econbiz.de/10012584099
Saved in:
3
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2020
as Markowitz portfolio selection. A popular tool to this end are multivariate
GARCH
models. Historically, such models did …
Persistent link: https://www.econbiz.de/10012253083
Saved in:
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