Liu, Guangying; Shi, Kewen; Yuan, Meng - 2023
Accurate prediction of high-dimensional covariance matrices is crucial for portfolio and risk management. In the model … developed in this work, high-frequency financial data is used to obtain the realized covariance matrix, and the realized … semicovariance is used to decompose the covariance matrix into a summation of the positive part Pt, negative part Nt, and mixed part …