Forecasting large covariance matrix with high-frequency data: A factor approach for the correlation matrix
We apply the factor approach to the correlation matrix to forecast large covariance matrix of asset returns using high-frequency data, using the principal component method to model the underlying latent factors of the correlation matrix. The realized variances are separately forecasted using the Het...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2473 https://ink.library.smu.edu.sg/context/soe_research/article/3472/viewcontent/Forecasting_large_covar_matrix_2020_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |