RePEcEconometrics & Forecasting
Forecasting Covariance Matrices
A new model enhances the prediction accuracy of large realized covariance matrices of returns by breaking down the return covariance matrix using standard firm-level factors and sectoral restrictions.
Featured in No. 58 on 24 Jul 2024 · on release day
- Released
- 24 Jul 2024
- First featured
- No. 58 · 24 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 14
- Identifier
- RePEc:oup:jfinec:v:22:y:2024:i:3:p:696-742.
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