Comparing unconstrained parametrization methods for return covariance matrix prediction (Q2084329)
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scientific article; zbMATH DE number 7603001
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Comparing unconstrained parametrization methods for return covariance matrix prediction |
scientific article; zbMATH DE number 7603001 |
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Comparing unconstrained parametrization methods for return covariance matrix prediction (English)
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18 October 2022
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volatility forecasting
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covariance model
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realized volatility
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parametrization
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