An integrated framework for visualizing and forecasting realized covariance matrices (Q825351)
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scientific article; zbMATH DE number 7447496
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An integrated framework for visualizing and forecasting realized covariance matrices |
scientific article; zbMATH DE number 7447496 |
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An integrated framework for visualizing and forecasting realized covariance matrices (English)
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17 December 2021
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high-frequency data
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multivariate realized kernel
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graphical Lasso
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realized covariance
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conditional autoregressive Wishart (CAW) model
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Stein loss
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model-confidence-set (MCS)
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optimal portfolio
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