High-dimensional covariance forecasting for short intra-day horizons

DOI10.1080/14697680903220349zbMath1201.91234OpenAlexW2049908129MaRDI QIDQ3064018

Roel C. A. Oomen

Publication date: 20 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903220349

zbMATH Keywords

factor modelsmarket microstructureforecast evaluationvast covariance matrices

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

Covariance measurement in the presence of non-synchronous trading and market microstructure noise

Cites Work

• An econometric analysis of nonsynchronous trading
• On covariance estimation of non-synchronously observed diffusion processes
• On the distribution of the largest eigenvalue in principal components analysis
• Evaluating Volatility and Correlation Forecasts
• The Stationary Bootstrap
• Modeling and Forecasting Realized Volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• A Tale of Two Time Scales

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