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) - shrinkage , covariance , factor (programming language) , econometrics , shrinkage estimator , mathematics , computer science , statistics , programming language , minimum variance unbiased estimator , mean squared error , bias of an estimator