Universität zu Köln

2020

Gribisch, Bastian, Hartkopf, Jan Patrick and Liesenfeld, Roman (2020). Factor state-space models for high-dimensional realized covariance matrices of asset returns. J. Empir. Financ., 55. S. 1 - 21. AMSTERDAM: ELSEVIER. ISSN 1879-1727

Hartkopf, Jan Patrick (2020). Modeling and Forecasting of Realized Covariance Matrices of Asset Returns using State-Space Models. PhD thesis, Universität zu Köln.