COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE?

• 主要作者: LIM ZHENG SEN, JOEL
• 其他作者: ECONOMICS
• 格式: Theses and Dissertations
• 出版: 2023
• 主題: Forecast evaluation; Multivariate volatility; Model Confidence Set; Realized covariances; Forecast combination; MGARCH
• 在線閱讀: https://scholarbank.nus.edu.sg/handle/10635/235858
• 機構: National University of Singapore

Bachelor's