Forecasting large covariance matrix with high-frequency data: A factor correlation matrix approach
We propose a factor correlation matrix approach to forecast large covariance matrix of asset returns using high-frequency data. We apply shrinkage method to estimate large correlation matrix and adopt principal component method to model the underlying latent factors. A vector autoregressive model is...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2018
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2270 https://ink.library.smu.edu.sg/context/soe_research/article/3269/viewcontent/FCM_20181025.pdf |
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| Institution: | Singapore Management University |
| Language: | English |