An integrated framework for visualizing and forecasting realized covariance matrices

DOI10.1007/s42081-020-00100-0zbMath1477.62303OpenAlexW3109127262MaRDI QIDQ825351

Takayuki Morimoto, Hideto Shigemoto

Publication date: 17 December 2021

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42081-020-00100-0

zbMATH Keywords

optimal portfoliohigh-frequency datagraphical LassoStein lossrealized covarianceconditional autoregressive Wishart (CAW) modelmodel-confidence-set (MCS)multivariate realized kernel

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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