相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
Yuan Ke et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2022)
A DCC-type approach for realized covariance modeling with score-driven dynamics
Danilo Vassallo et al.
INTERNATIONAL JOURNAL OF FORECASTING (2021)
Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly
Gianluca De Nard et al.
JOURNAL OF FINANCIAL ECONOMETRICS (2021)
Nonlinearities and regimes in conditional correlations with different dynamics
Luc Bauwens et al.
JOURNAL OF ECONOMETRICS (2020)
Large Dynamic Covariance Matrices
Robert F. Engle et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2019)
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
P. Gorgi et al.
JOURNAL OF FINANCIAL ECONOMETRICS (2019)
Factor High-Frequency-Based Volatility (HEAVY) Models
Kevin Sheppard et al.
JOURNAL OF FINANCIAL ECONOMETRICS (2019)
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Yacine Ait-Sahalia et al.
JOURNAL OF ECONOMETRICS (2017)
MODELING AND FORECASTING LARGE REALIZED COVARIANCE MATRICES AND PORTFOLIO CHOICE
Laurent A. F. Callot et al.
JOURNAL OF APPLIED ECONOMETRICS (2017)
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data
Jianqing Fan et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2016)
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
Asger Lunde et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2016)
High-dimensional copula-based distributions with mixed frequency data
Dong Hwan Oh et al.
JOURNAL OF ECONOMETRICS (2016)
DO HIGH-FREQUENCY DATA IMPROVE HIGH-DIMENSIONAL PORTFOLIO ALLOCATIONS?
Nikolaus Hautsch et al.
JOURNAL OF APPLIED ECONOMETRICS (2015)
Dynamic Conditional Correlation: On Properties and Estimation
Gian Piero Aielli
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2013)
On loss functions and ranking forecasting performances of multivariate volatility models
Sebastien Laurent et al.
JOURNAL OF ECONOMETRICS (2013)
The conditional autoregressive Wishart model for multivariate stock market volatility
Vasyl Golosnoy et al.
JOURNAL OF ECONOMETRICS (2012)
Multivariate high-frequency-based volatility (HEAVY) models
Diaa Noureldin et al.
JOURNAL OF APPLIED ECONOMETRICS (2012)
Volatility forecast comparison using imperfect volatility proxies
Andrew J. Patton
JOURNAL OF ECONOMETRICS (2011)
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Ole E. Barndorff-Nielsen et al.
JOURNAL OF ECONOMETRICS (2011)
MODELLING AND FORECASTING MULTIVARIATE REALIZED VOLATILITY
Roxana Chiriac et al.
JOURNAL OF APPLIED ECONOMETRICS (2011)
A GENERALIZED DYNAMIC CONDITIONAL CORRELATION MODEL: SIMULATION AND APPLICATION TO MANY ASSETS
Christian M. Hafner et al.
ECONOMETRIC REVIEWS (2009)
A Simple Approximate Long-Memory Model of Realized Volatility
Fulvio Corsi
JOURNAL OF FINANCIAL ECONOMETRICS (2009)
Multivariate GARCH models: A survey
L Bauwens et al.
JOURNAL OF APPLIED ECONOMETRICS (2006)
Choosing the best volatility models: The model confidence set approach
PR Hansen et al.
OXFORD BULLETIN OF ECONOMICS AND STATISTICS (2003)
Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models
R Engle
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2002)