Comparing unconstrained parametrization methods for return covariance matrix prediction

DOI10.1007/s11222-022-10157-4zbMath1496.62004OpenAlexW4303699404MaRDI QIDQ2084329

Luigi Ippoliti, Pasquale Valentini, Andrea Bucci

Publication date: 18 October 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-022-10157-4

zbMATH Keywords

parametrizationcovariance modelrealized volatilityvolatility forecasting

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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