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scientific article; zbMATH DE number 7071650 - MaRDI portal

scientific article; zbMATH DE number 7071650

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Publication:5382069

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zbMath1424.62095MaRDI QIDQ5382069

Publication date: 21 June 2019

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

covariance matrix high-dimensional portfolios BEKK-NS model nonlinear shrinkage method QuEST function

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (1)

Nonlinear volatility risk prediction algorithm of financial data based on improved deep learning

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