Comparing unconstrained parametrization methods for return covariance matrix prediction
type: Item
instance of: scholarly article
title: Comparing unconstrained parametrization methods for return covariance matrix prediction
zbMATH Open document ID: 1496.62004
author: Andrea Bucci
author: Luigi Ippoliti
author: Pasquale Valentini
published in: Statistics and Computing
publication date: 2022-10-18T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7603001
zbMATH Keywords: volatility forecasting
zbMATH Keywords: covariance model
zbMATH Keywords: realized volatility
zbMATH Keywords: parametrization
MaRDI profile type: Publication
full work available at URL: s11222-022-10157-4
OpenAlex ID: W4303699404
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DOI: 10.1007/S11222-022-10157-4
description: scientific article; zbMATH DE number 7603001