Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
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Publication:5095203
DOI10.1080/07474938.2021.1983327OpenAlexW4210808036MaRDI QIDQ5095203
Siyang Peng, Yong-Hong Long, Shao-Jun Guo
Publication date: 5 August 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2021.1983327
volatility forecastingdynamic structurehigh frequency regressionMarkowitz's portfolio allocationmixed-frequency factor models
Cites Work
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