Open AccessFORECASTING LARGE REALIZED COVARIANCE MATRICES: THE BENEFITS OF FACTOR MODELS AND SHRINKAGE
Author(s) -
DIEGO SIEBRA DE BRITO
Publication year - 2018
Language(s) - English
Resource type - Dissertations/theses
DOI - 10.17771/pucrio.acad.35140
Subject(s) - lasso (programming language) , covariance , autoregressive model , curse of dimensionality , covariance matrix , econometrics , mathematics , residual , factor analysis , estimation of covariance matrices , shrinkage , statistics , computer science , algorithm , world wide web
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