FORECASTING LARGE REALIZED COVARIANCE MATRICES: THE BENEFITS OF FACTOR MODELS AND SHRINKAGE

FORECASTING LARGE REALIZED COVARIANCE MATRICES: THE BENEFITS OF FACTOR MODELS AND SHRINKAGE

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO === Este trabalho propõe um modelo de previsão de matrizes de covariância realizada de altíssima dimensão, com aplicação para os componentes do índice S e P 500. Para lidar com o altíssimo número de parâmetros (maldição da dimensionalidade), propõe-...

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Bibliographic Details
Main Author:	DIEGO SIEBRA DE BRITO
Other Authors:	MARCELO CUNHA MEDEIROS
Language:	English
Published:	PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO 2018
Online Access:	http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=35140@1 http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=35140@2

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