We propose a dynamic factor state-space model for the prediction of high-dimensional realized covariance matrices of … linear shrinkage. We find that the proposed model performs very well in an empirical application to realized covariance … asset returns. Using a block LDL decomposition of the joint covariance matrix of assets and factors, we express the realized …

the new distribution to realized covariance matrices of 30 U.S. stocks over a 14 year period, we find huge likelihood …

This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on …

This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on …

the new distribution to realized covariance matrices of 30 U.S. stocks over a 14 year period, we find huge likelihood …